{ "id": "PMCC-001", "executedAt": "2026-09-22T01:06:53.081Z", "engineHash": "a0f51f8c01d1d4fd88cd973e55c64f09e0531cb21a7414de2b5fba997b4c7c86", "protocolHash": "131863943d7d5e5348fc09cdc21a77e70e0d0283a8002009bf4c281d47e35bc4", "dataHashes": { "SPY": "3311fe3d1a5f6e252018eb198e8c6d2dd83ed8b3763f258fbcf1b7d2a8757a1b", "QQQ": "0d65a71df53509e46f7e7468dd9430e8fc4f027b525aeb73958a8fdb0f804e17" }, "baseline": { "runs": 96, "positive": 92, "medianContribution": 11266.014531907327, "minContribution": -1080.2217879112286, "maxContribution": 52253.14146215166, "medianCagrDifference": 0.014808096210666699, "drawdownImproved": 96, "borrowingRuns": 0 }, "bySymbol": [ { "symbol": "SPY", "runs": 48, "positive": 48, "medianContribution": 9298.419859408226, "minContribution": 2200.1089966462932, "maxContribution": 38110.661435824644, "medianCagrDifference": 0.015473619451890186, "drawdownImproved": 48, "borrowingRuns": 0 }, { "symbol": "QQQ", "runs": 48, "positive": 44, "medianContribution": 11704.622135005877, "minContribution": -1080.2217879112286, "maxContribution": 52253.14146215166, "medianCagrDifference": 0.012806451006204478, "drawdownImproved": 48, "borrowingRuns": 0 } ], "byIv": [ { "ivPremium": 0, "runs": 96, "positive": 59, "medianContribution": 1362.0302716616097, "minContribution": -33577.5930707628, "maxContribution": 17371.82841228458, "medianCagrDifference": 0.00229037695027412, "drawdownImproved": 96, "borrowingRuns": 0 }, { "ivPremium": 0.1, "runs": 96, "positive": 92, "medianContribution": 7276.057231046012, "minContribution": -11436.571136089915, "maxContribution": 37233.17900703111, "medianCagrDifference": 0.010916895046297781, "drawdownImproved": 96, "borrowingRuns": 0 }, { "ivPremium": 0.15, "runs": 96, "positive": 92, "medianContribution": 11266.014531907327, "minContribution": -1080.2217879112286, "maxContribution": 52253.14146215166, "medianCagrDifference": 0.014808096210666699, "drawdownImproved": 96, "borrowingRuns": 0 }, { "ivPremium": 0.25, "runs": 96, "positive": 96, "medianContribution": 17471.06622433119, "minContribution": 3430.6917742077785, "maxContribution": 87159.53167442232, "medianCagrDifference": 0.02146348816452226, "drawdownImproved": 96, "borrowingRuns": 0 }, { "ivPremium": 0.4, "runs": 96, "positive": 96, "medianContribution": 28411.936009390367, "minContribution": 4445.442050049936, "maxContribution": 139618.422621594, "medianCagrDifference": 0.030538767068144512, "drawdownImproved": 96, "borrowingRuns": 0 } ], "failures": [], "rows": [ { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 101640.90290421867, "cagr": 0.09258094630519076, "maxDrawdown": -0.14950745134999655 }, "longOnly": { "terminal": 87131.24684049553, "cagr": 0.08482094953868669, "maxDrawdown": -0.20954669172148987 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 14509.656063723145, "netShort": 10086.34498936585, "financingDifference": 4423.311074357538, "grossPremium": 24711.01202930955, "shortSettlements": 14021.816834468027, "shortFees": 489.4499999999934, "terminalShortLiability": 113.40020547567917, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 30643.853778550714, "longOnlyInterest": 26220.542704193176, "minCash": 14228.84247310713, "minLongOnlyCash": 14160.48687654881, "cycles": 377, "rolls": 17, "theta": { "longOnly": -16363.368210238297, "short": 42252.302074816434, "combined": 25888.933864578197, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 107933.30940718402, "cagr": 0.09562214609950481, "maxDrawdown": -0.14686645734024073 }, "longOnly": { "terminal": 85802.33963788065, "cagr": 0.0840496810162159, "maxDrawdown": -0.22026851617148446 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 22130.969769303367, "netShort": 15670.228151349333, "financingDifference": 6460.741617954154, "grossPremium": 27348.05003390461, "shortSettlements": 11070.721128641719, "shortFees": 489.4499999999934, "terminalShortLiability": 117.65075391356419, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 32067.287077430592, "longOnlyInterest": 25606.545459476438, "minCash": 14157.87412259149, "minLongOnlyCash": 13851.294227942572, "cycles": 377, "rolls": 17, "theta": { "longOnly": -17036.715308550003, "short": 45073.5543602013, "combined": 28036.83905165126, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 110833.8598444812, "cagr": 0.09696747708983011, "maxDrawdown": -0.14530350368590728 }, "longOnly": { "terminal": 85141.58607708926, "cagr": 0.0836619436770929, "maxDrawdown": -0.2250973473580774 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 25692.273767391933, "netShort": 18276.109311465905, "financingDifference": 7416.164455926155, "grossPremium": 28621.870941861864, "shortSettlements": 9736.450501585547, "shortFees": 489.4499999999934, "terminalShortLiability": 119.8611288104189, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 32720.79391697786, "longOnlyInterest": 25304.629461051703, "minCash": 14122.77339370088, "minLongOnlyCash": 13707.81514694185, "cycles": 377, "rolls": 17, "theta": { "longOnly": -17377.338114790506, "short": 46408.86807537671, "combined": 29031.529960586297, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 116025.04903390461, "cagr": 0.09929352549085002, "maxDrawdown": -0.14393536475415525 }, "longOnly": { "terminal": 83822.0428132342, "cagr": 0.08287895725637107, "maxDrawdown": -0.2338841607920299 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 32203.006220670402, "netShort": 23107.354408350773, "financingDifference": 9095.651812319717, "grossPremium": 31110.242591510098, "shortSettlements": 7389.029672472851, "shortFees": 489.4499999999934, "terminalShortLiability": 124.40851068648016, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 33804.226737072124, "longOnlyInterest": 24708.574924752407, "minCash": 14053.327872373377, "minLongOnlyCash": 13440.588656177948, "cycles": 377, "rolls": 17, "theta": { "longOnly": -18067.43694642268, "short": 48631.05585460826, "combined": 30563.618908185512, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 122895.8646193615, "cagr": 0.10222404022814624, "maxDrawdown": -0.14336315144455836 }, "longOnly": { "terminal": 81833.68954099828, "cagr": 0.0816766242862792, "maxDrawdown": -0.24532956523117289 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 41062.175078363216, "netShort": 29741.742055856415, "financingDifference": 11320.433022506757, "grossPremium": 34777.330640064356, "shortSettlements": 4414.682797189118, "shortFees": 489.4499999999934, "terminalShortLiability": 131.45578701882812, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 35148.184444751314, "longOnlyInterest": 23827.751422244557, "minCash": 13951.017202695455, "minLongOnlyCash": 13082.737258320032, "cycles": 377, "rolls": 17, "theta": { "longOnly": -19126.687945113667, "short": 52028.089912523086, "combined": 32901.401967409256, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 104503.07525278011, "cagr": 0.09398590598333145, "maxDrawdown": -0.14010352109185398 }, "longOnly": { "terminal": 87131.24684049553, "cagr": 0.08482094953868669, "maxDrawdown": -0.20954669172148987 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 17371.82841228458, "netShort": 12128.885921737947, "financingDifference": 5242.9424905467895, "grossPremium": 35180.95541511051, "shortSettlements": 22373.83992813056, "shortFees": 489.4499999999934, "terminalShortLiability": 188.77956524200954, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 31463.485194739966, "longOnlyInterest": 26220.542704193176, "minCash": 14214.544017213377, "minLongOnlyCash": 14160.48687654881, "cycles": 377, "rolls": 17, "theta": { "longOnly": -16363.368210238297, "short": 53193.08749645561, "combined": 36829.7192862172, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 114449.25510133208, "cagr": 0.09859812008161795, "maxDrawdown": -0.12287748179827696 }, "longOnly": { "terminal": 85802.33963788065, "cagr": 0.0840496810162159, "maxDrawdown": -0.22026851617148446 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 28646.915463451427, "netShort": 20428.793306411746, "financingDifference": 8218.12215703971, "grossPremium": 38988.55829860922, "shortSettlements": 17873.385711350285, "shortFees": 489.4499999999934, "terminalShortLiability": 196.92928084719483, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 33824.66761651615, "longOnlyInterest": 25606.545459476438, "minCash": 14164.11495643135, "minLongOnlyCash": 13851.294227942572, "cycles": 377, "rolls": 17, "theta": { "longOnly": -17036.715308550003, "short": 57812.18265410829, "combined": 40775.467345558165, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 118699.28451298305, "cagr": 0.10045332016128072, "maxDrawdown": -0.12336624786634443 }, "longOnly": { "terminal": 85141.58607708926, "cagr": 0.0836619436770929, "maxDrawdown": -0.2250973473580774 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 33557.69843589379, "netShort": 24008.69644237732, "financingDifference": 9549.0019935165, "grossPremium": 40889.15878688365, "shortSettlements": 16189.90227396812, "shortFees": 489.4499999999934, "terminalShortLiability": 201.11007053821766, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 34853.6314545682, "longOnlyInterest": 25304.629461051703, "minCash": 14129.29495761285, "minLongOnlyCash": 13707.81514694185, "cycles": 377, "rolls": 17, "theta": { "longOnly": -17377.338114790506, "short": 60101.767809523226, "combined": 42724.42969473278, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 126265.26960695126, "cagr": 0.10360448553459123, "maxDrawdown": -0.12395893011172177 }, "longOnly": { "terminal": 83822.0428132342, "cagr": 0.08287895725637107, "maxDrawdown": -0.2338841607920299 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 42443.226793717055, "netShort": 30443.091456598766, "financingDifference": 12000.135337118336, "grossPremium": 44572.22907557839, "shortSettlements": 13430.060108440037, "shortFees": 489.4499999999934, "terminalShortLiability": 209.62751053959607, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 36708.71026187074, "longOnlyInterest": 24708.574924752407, "minCash": 14060.410135809705, "minLongOnlyCash": 13440.588656177948, "cycles": 377, "rolls": 17, "theta": { "longOnly": -18067.43694642268, "short": 64270.00607776619, "combined": 46202.56913134343, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 136359.68257965244, "cagr": 0.10753929527356165, "maxDrawdown": -0.12465849255575367 }, "longOnly": { "terminal": 81833.68954099828, "cagr": 0.0816766242862792, "maxDrawdown": -0.24532956523117289 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 54525.99303865415, "netShort": 39319.023004846385, "financingDifference": 15206.970033807524, "grossPremium": 49847.960817128565, "shortSettlements": 9816.81148983468, "shortFees": 489.4499999999934, "terminalShortLiability": 222.67632244750502, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 39034.72145605208, "longOnlyInterest": 23827.751422244557, "minCash": 13958.938618283986, "minLongOnlyCash": 13082.737258320032, "cycles": 377, "rolls": 17, "theta": { "longOnly": -19126.687945113667, "short": 69802.42587964333, "combined": 50675.73793452951, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 103584.0980668595, "cagr": 0.09353884853523531, "maxDrawdown": -0.1378461624076548 }, "longOnly": { "terminal": 87131.24684049553, "cagr": 0.08482094953868669, "maxDrawdown": -0.20954669172148987 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 16452.85122636397, "netShort": 11296.040947358972, "financingDifference": 5156.810279005131, "grossPremium": 46422.68566279354, "shortSettlements": 34356.49168461396, "shortFees": 489.4499999999934, "terminalShortLiability": 280.70303082061514, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 31377.352983198307, "longOnlyInterest": 26220.542704193176, "minCash": 14199.807246282297, "minLongOnlyCash": 14160.48687654881, "cycles": 377, "rolls": 17, "theta": { "longOnly": -16363.368210238297, "short": 60921.61036698713, "combined": 44558.24215674866, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 116976.32149855912, "cagr": 0.09970897926059208, "maxDrawdown": -0.11594031046643871 }, "longOnly": { "terminal": 85802.33963788065, "cagr": 0.0840496810162159, "maxDrawdown": -0.22026851617148446 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 31173.98186067847, "netShort": 22113.703677115496, "financingDifference": 9060.27818356306, "grossPremium": 51644.46061926905, "shortSettlements": 28747.17342713822, "shortFees": 489.4499999999934, "terminalShortLiability": 294.13351501534066, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 34666.8236430395, "longOnlyInterest": 25606.545459476438, "minCash": 14151.670394900566, "minLongOnlyCash": 13851.294227942572, "cycles": 377, "rolls": 17, "theta": { "longOnly": -17036.715308550003, "short": 68372.40088259819, "combined": 51335.685574048, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 123129.1459957022, "cagr": 0.10232077174379106, "maxDrawdown": -0.10903828243723679 }, "longOnly": { "terminal": 85141.58607708926, "cagr": 0.0836619436770929, "maxDrawdown": -0.2250973473580774 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 37987.55991861294, "netShort": 27141.776476684186, "financingDifference": 10845.78344192883, "grossPremium": 54186.546399878185, "shortSettlements": 26254.353002009913, "shortFees": 489.4499999999934, "terminalShortLiability": 300.96692118409294, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 36150.41290298053, "longOnlyInterest": 25304.629461051703, "minCash": 14128.009202229545, "minLongOnlyCash": 13707.81514694185, "cycles": 377, "rolls": 17, "theta": { "longOnly": -17377.338114790506, "short": 71895.43737951202, "combined": 54518.09926472132, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 134399.04567562832, "cagr": 0.10679727796300642, "maxDrawdown": -0.10835029511963312 }, "longOnly": { "terminal": 83822.0428132342, "cagr": 0.08287895725637107, "maxDrawdown": -0.2338841607920299 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 50577.00286239412, "netShort": 36381.57390876541, "financingDifference": 14195.428953628594, "grossPremium": 59192.4783866313, "shortSettlements": 22006.64995210978, "shortFees": 489.4499999999934, "terminalShortLiability": 314.8045257561279, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 38904.003878381, "longOnlyInterest": 24708.574924752407, "minCash": 14068.231828976519, "minLongOnlyCash": 13440.588656177948, "cycles": 377, "rolls": 17, "theta": { "longOnly": -18067.43694642268, "short": 78118.58060328076, "combined": 60051.14365685791, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 149277.8781636254, "cagr": 0.11218797906856737, "maxDrawdown": -0.10719265617998186 }, "longOnly": { "terminal": 81833.68954099828, "cagr": 0.0816766242862792, "maxDrawdown": -0.24532956523117289 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 67444.18862262712, "netShort": 48703.25139836676, "financingDifference": 18740.937224260157, "grossPremium": 66431.73173957871, "shortSettlements": 16903.180174149416, "shortFees": 489.4499999999934, "terminalShortLiability": 335.8501670625458, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 42568.688646504714, "longOnlyInterest": 23827.751422244557, "minCash": 13967.686220540734, "minLongOnlyCash": 13082.737258320032, "cycles": 377, "rolls": 17, "theta": { "longOnly": -19126.687945113667, "short": 86456.29616096732, "combined": 67329.6082158536, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 99718.05910259137, "cagr": 0.09161572682295338, "maxDrawdown": -0.14079247489018554 }, "longOnly": { "terminal": 87131.24684049553, "cagr": 0.08482094953868669, "maxDrawdown": -0.20954669172148987 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 12586.812262095846, "netShort": 8382.478243133544, "financingDifference": 4204.334018962512, "grossPremium": 58650.4850947836, "shortSettlements": 49389.74394793828, "shortFees": 489.4499999999934, "terminalShortLiability": 388.8129037117835, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 30424.87672315569, "longOnlyInterest": 26220.542704193176, "minCash": 14191.20678029179, "minLongOnlyCash": 14160.48687654881, "cycles": 377, "rolls": 17, "theta": { "longOnly": -16363.368210238297, "short": 66638.48157077303, "combined": 50275.11336053471, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 115680.7432503583, "cagr": 0.09914235407821015, "maxDrawdown": -0.11400230501935149 }, "longOnly": { "terminal": 85802.33963788065, "cagr": 0.0840496810162159, "maxDrawdown": -0.22026851617148446 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 29878.403612477647, "netShort": 21115.52888105339, "financingDifference": 8762.87473142436, "grossPremium": 65243.28867033999, "shortSettlements": 43229.33198290407, "shortFees": 489.4499999999934, "terminalShortLiability": 408.9778063825406, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 34369.4201909008, "longOnlyInterest": 25606.545459476438, "minCash": 14142.123452990387, "minLongOnlyCash": 13851.294227942572, "cycles": 377, "rolls": 17, "theta": { "longOnly": -17036.715308550003, "short": 75511.22471277101, "combined": 58474.509404220924, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 123252.2475129139, "cagr": 0.10237174609236832, "maxDrawdown": -0.10372644355377503 }, "longOnly": { "terminal": 85141.58607708926, "cagr": 0.0836619436770929, "maxDrawdown": -0.2250973473580774 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 38110.661435824644, "netShort": 27172.063537743856, "financingDifference": 10938.59789808068, "grossPremium": 68511.169012764, "shortSettlements": 40430.47403078225, "shortFees": 489.4499999999934, "terminalShortLiability": 419.1814442379041, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 36243.22735913238, "longOnlyInterest": 25304.629461051703, "minCash": 14117.983055860079, "minLongOnlyCash": 13707.81514694185, "cycles": 377, "rolls": 17, "theta": { "longOnly": -17377.338114790506, "short": 79907.9804047888, "combined": 62530.64228999852, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 137568.64619920167, "cagr": 0.1079917811895088, "maxDrawdown": -0.09234375279470108 }, "longOnly": { "terminal": 83822.0428132342, "cagr": 0.08287895725637107, "maxDrawdown": -0.2338841607920299 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 53746.603385967464, "netShort": 38613.30092188336, "financingDifference": 15133.302464083994, "grossPremium": 74997.64929663537, "shortSettlements": 35455.13936835882, "shortFees": 489.4499999999934, "terminalShortLiability": 439.75900639320287, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 39841.8773888364, "longOnlyInterest": 24708.574924752407, "minCash": 14070.49395878881, "minLongOnlyCash": 13440.588656177948, "cycles": 377, "rolls": 17, "theta": { "longOnly": -18067.43694642268, "short": 88490.50577585035, "combined": 70423.0688294279, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 157475.17563196187, "cagr": 0.11494270763264014, "maxDrawdown": -0.08930255725555836 }, "longOnly": { "terminal": 81833.68954099828, "cagr": 0.0816766242862792, "maxDrawdown": -0.24532956523117289 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 75641.48609096359, "netShort": 54553.33991398998, "financingDifference": 21088.146176973412, "grossPremium": 84405.41083440877, "shortSettlements": 28891.72217630887, "shortFees": 489.4499999999934, "terminalShortLiability": 470.8987441099282, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 44915.89759921797, "longOnlyInterest": 23827.751422244557, "minCash": 13977.288879779433, "minLongOnlyCash": 13082.737258320032, "cycles": 377, "rolls": 17, "theta": { "longOnly": -19126.687945113667, "short": 100584.43894506294, "combined": 81457.75099994948, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 98184.77034422291, "cagr": 0.09083324755427213, "maxDrawdown": -0.1547174517274783 }, "longOnly": { "terminal": 87131.24684049553, "cagr": 0.08482094953868669, "maxDrawdown": -0.20954669172148987 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 11053.523503727381, "netShort": 7210.909323104157, "financingDifference": 3842.614180623317, "grossPremium": 20988.712178521215, "shortSettlements": 12231.949837969336, "shortFees": 365.9499999999977, "terminalShortLiability": 1179.9030174477252, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 30063.156884816493, "longOnlyInterest": 26220.542704193176, "minCash": 14231.36208244804, "minLongOnlyCash": 14160.48687654881, "cycles": 282, "rolls": 17, "theta": { "longOnly": -16363.368210238297, "short": 35295.33780101858, "combined": 18931.96959078019, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 103859.93921270559, "cagr": 0.09367343376657256, "maxDrawdown": -0.1542937393774615 }, "longOnly": { "terminal": 85802.33963788065, "cagr": 0.0840496810162159, "maxDrawdown": -0.22026851617148446 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 18057.59957482494, "netShort": 12419.083448445963, "financingDifference": 5638.51612637908, "grossPremium": 23192.578429210815, "shortSettlements": 9343.743096162903, "shortFees": 365.9499999999977, "terminalShortLiability": 1063.801884601952, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 31245.061585855517, "longOnlyInterest": 25606.545459476438, "minCash": 14160.641132354122, "minLongOnlyCash": 13851.294227942572, "cycles": 282, "rolls": 17, "theta": { "longOnly": -17036.715308550003, "short": 38079.94331563117, "combined": 21043.228007081143, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 106313.12157309512, "cagr": 0.09485558461216304, "maxDrawdown": -0.15467589765919676 }, "longOnly": { "terminal": 85141.58607708926, "cagr": 0.0836619436770929, "maxDrawdown": -0.2250973473580774 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 21171.53549600586, "netShort": 14767.735090872375, "financingDifference": 6403.80040513349, "grossPremium": 24269.053417606126, "shortSettlements": 8121.7563455718055, "shortFees": 365.9499999999977, "terminalShortLiability": 1013.6119811619494, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 31708.429866185194, "longOnlyInterest": 25304.629461051703, "minCash": 14125.663796692521, "minLongOnlyCash": 13707.81514694185, "cycles": 282, "rolls": 17, "theta": { "longOnly": -17377.338114790506, "short": 39585.6861847572, "combined": 22208.348069966818, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 110705.77552308247, "cagr": 0.09690878158617111, "maxDrawdown": -0.1554152770980135 }, "longOnly": { "terminal": 83822.0428132342, "cagr": 0.08287895725637107, "maxDrawdown": -0.2338841607920299 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 26883.732709848264, "netShort": 19077.685266260305, "financingDifference": 7806.047443588079, "grossPremium": 26433.543673926048, "shortSettlements": 6063.35695493136, "shortFees": 365.9499999999977, "terminalShortLiability": 926.5514527343839, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 32514.622368340486, "longOnlyInterest": 24708.574924752407, "minCash": 14056.464449562573, "minLongOnlyCash": 13440.588656177948, "cycles": 282, "rolls": 17, "theta": { "longOnly": -18067.43694642268, "short": 42500.10879367559, "combined": 24432.67184725295, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 116369.89821980847, "cagr": 0.09944450723994791, "maxDrawdown": -0.15631271356473986 }, "longOnly": { "terminal": 81833.68954099828, "cagr": 0.0816766242862792, "maxDrawdown": -0.24532956523117289 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 34536.20867881019, "netShort": 24887.382167259166, "financingDifference": 9648.826511551179, "grossPremium": 29580.683250780956, "shortSettlements": 3504.33917977722, "shortFees": 365.9499999999977, "terminalShortLiability": 823.0119037445718, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 33476.577933795736, "longOnlyInterest": 23827.751422244557, "minCash": 13954.521515621103, "minLongOnlyCash": 13082.737258320032, "cycles": 282, "rolls": 17, "theta": { "longOnly": -19126.687945113667, "short": 45675.27230051585, "combined": 26548.58435540205, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 100313.46198524274, "cagr": 0.09191648780956707, "maxDrawdown": -0.13468149168324972 }, "longOnly": { "terminal": 87131.24684049553, "cagr": 0.08482094953868669, "maxDrawdown": -0.20954669172148987 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 13182.215144747213, "netShort": 8608.900317640231, "financingDifference": 4573.314827107133, "grossPremium": 29977.278453797946, "shortSettlements": 19476.2423612069, "shortFees": 365.9499999999977, "terminalShortLiability": 1526.185774950818, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 30793.85753130031, "longOnlyInterest": 26220.542704193176, "minCash": 14238.138158348864, "minLongOnlyCash": 14160.48687654881, "cycles": 282, "rolls": 17, "theta": { "longOnly": -16363.368210238297, "short": 44780.55991051991, "combined": 28417.19170028145, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 108389.76282467734, "cagr": 0.09583612728617807, "maxDrawdown": -0.13075407101462555 }, "longOnly": { "terminal": 85802.33963788065, "cagr": 0.0840496810162159, "maxDrawdown": -0.22026851617148446 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 22587.42318679669, "netShort": 15557.566489007482, "financingDifference": 7029.85669778919, "grossPremium": 33115.35329683871, "shortSettlements": 15778.80255851433, "shortFees": 365.9499999999977, "terminalShortLiability": 1413.0342493168996, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 32636.402157265627, "longOnlyInterest": 25606.545459476438, "minCash": 14168.08678417655, "minLongOnlyCash": 13851.294227942572, "cycles": 282, "rolls": 17, "theta": { "longOnly": -17036.715308550003, "short": 48772.67250546406, "combined": 31735.957196913972, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 112054.88870601257, "cagr": 0.09752379635403341, "maxDrawdown": -0.12857550908299586 }, "longOnly": { "terminal": 85141.58607708926, "cagr": 0.0836619436770929, "maxDrawdown": -0.2250973473580774 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 26913.30262892331, "netShort": 18718.2344210308, "financingDifference": 8195.06820789255, "grossPremium": 34682.052275627575, "shortSettlements": 14234.862754741278, "shortFees": 365.9499999999977, "terminalShortLiability": 1363.005099855502, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 33499.69766894425, "longOnlyInterest": 25304.629461051703, "minCash": 14133.443694684327, "minLongOnlyCash": 13707.81514694185, "cycles": 282, "rolls": 17, "theta": { "longOnly": -17377.338114790506, "short": 50713.572206002544, "combined": 33336.23409121203, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 118750.54707411632, "cagr": 0.10047530799896487, "maxDrawdown": -0.1262170236241691 }, "longOnly": { "terminal": 83822.0428132342, "cagr": 0.08287895725637107, "maxDrawdown": -0.2338841607920299 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 34928.50426088211, "netShort": 24609.738636593804, "financingDifference": 10318.765624288339, "grossPremium": 37747.76729037608, "shortSettlements": 11497.545229377843, "shortFees": 365.9499999999977, "terminalShortLiability": 1274.5334244044386, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 35027.340549040746, "longOnlyInterest": 24708.574924752407, "minCash": 14064.911758815673, "minLongOnlyCash": 13440.588656177948, "cycles": 282, "rolls": 17, "theta": { "longOnly": -18067.43694642268, "short": 54421.73297945336, "combined": 36354.29603303066, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 127479.31456749373, "cagr": 0.10409328310243415, "maxDrawdown": -0.1274781618408669 }, "longOnly": { "terminal": 81833.68954099828, "cagr": 0.0816766242862792, "maxDrawdown": -0.24532956523117289 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 45645.62502649544, "netShort": 32628.900859232228, "financingDifference": 13016.724167263219, "grossPremium": 42344.15136358782, "shortSettlements": 8182.918730433711, "shortFees": 365.9499999999977, "terminalShortLiability": 1166.381773921887, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 36844.475589507776, "longOnlyInterest": 23827.751422244557, "minCash": 13963.967246563921, "minLongOnlyCash": 13082.737258320032, "cycles": 282, "rolls": 17, "theta": { "longOnly": -19126.687945113667, "short": 60225.08624022349, "combined": 41098.39829510981, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 99581.26110673769, "cagr": 0.09154638295021855, "maxDrawdown": -0.11514155373024282 }, "longOnly": { "terminal": 87131.24684049553, "cagr": 0.08482094953868669, "maxDrawdown": -0.20954669172148987 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 12450.014266242157, "netShort": 7744.9528247845155, "financingDifference": 4705.061441457685, "grossPremium": 39842.30028576976, "shortSettlements": 29880.986288685046, "shortFees": 365.9499999999977, "terminalShortLiability": 1850.4111723001984, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 30925.60414565086, "longOnlyInterest": 26220.542704193176, "minCash": 14245.622125031887, "minLongOnlyCash": 14160.48687654881, "cycles": 282, "rolls": 17, "theta": { "longOnly": -16363.368210238297, "short": 53244.00915737911, "combined": 36880.64094714087, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 110472.07426968127, "cagr": 0.09680151932016523, "maxDrawdown": -0.10921838017485608 }, "longOnly": { "terminal": 85802.33963788065, "cagr": 0.0840496810162159, "maxDrawdown": -0.22026851617148446 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 24669.734631800617, "netShort": 16814.300421856686, "financingDifference": 7855.434209943924, "grossPremium": 43995.391838821095, "shortSettlements": 25067.27109992395, "shortFees": 365.9499999999977, "terminalShortLiability": 1747.8703170404629, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 33461.97966942036, "longOnlyInterest": 25606.545459476438, "minCash": 14176.309635434274, "minLongOnlyCash": 13851.294227942572, "cycles": 282, "rolls": 17, "theta": { "longOnly": -17036.715308550003, "short": 58704.654244690995, "combined": 41667.93893614126, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 115539.62020280062, "cagr": 0.09908026835912032, "maxDrawdown": -0.10678235852108375 }, "longOnly": { "terminal": 85141.58607708926, "cagr": 0.0836619436770929, "maxDrawdown": -0.2250973473580774 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 30398.03412571136, "netShort": 21068.751334011064, "financingDifference": 9329.282791700349, "grossPremium": 46081.63915733801, "shortSettlements": 22945.136635612096, "shortFees": 365.9499999999977, "terminalShortLiability": 1701.8011877148524, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 34633.91225275205, "longOnlyInterest": 25304.629461051703, "minCash": 14142.035346969287, "minLongOnlyCash": 13707.81514694185, "cycles": 282, "rolls": 17, "theta": { "longOnly": -17377.338114790506, "short": 61342.50032150909, "combined": 43965.16220671857, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 125347.601671742, "cagr": 0.10323203130688752, "maxDrawdown": -0.10684836984003165 }, "longOnly": { "terminal": 83822.0428132342, "cagr": 0.08287895725637107, "maxDrawdown": -0.2338841607920299 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 41525.55885850779, "netShort": 29283.897730947592, "financingDifference": 12241.661127560226, "grossPremium": 50204.76047117553, "shortSettlements": 18935.689959317275, "shortFees": 365.9499999999977, "terminalShortLiability": 1619.2227809106612, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 36950.23605231263, "longOnlyInterest": 24708.574924752407, "minCash": 14074.239733770943, "minLongOnlyCash": 13440.588656177948, "cycles": 282, "rolls": 17, "theta": { "longOnly": -18067.43694642268, "short": 66475.22968425941, "combined": 48407.79273783665, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 137590.20030678605, "cagr": 0.10799981391263036, "maxDrawdown": -0.10870025684768747 }, "longOnly": { "terminal": 81833.68954099828, "cagr": 0.0816766242862792, "maxDrawdown": -0.24532956523117289 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 55756.51076578777, "netShort": 39748.47746191561, "financingDifference": 16008.033303871944, "grossPremium": 56249.2044425948, "shortSettlements": 14618.39637180059, "shortFees": 365.9499999999977, "terminalShortLiability": 1516.3806088785975, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 39835.7847261165, "longOnlyInterest": 23827.751422244557, "minCash": 13974.396516440002, "minLongOnlyCash": 13082.737258320032, "cycles": 282, "rolls": 17, "theta": { "longOnly": -19126.687945113667, "short": 73884.55221334893, "combined": 54757.864268235266, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 95694.80749158654, "cagr": 0.08953737266737427, "maxDrawdown": -0.10755695205580218 }, "longOnly": { "terminal": 87131.24684049553, "cagr": 0.08482094953868669, "maxDrawdown": -0.20954669172148987 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 8563.560651091015, "netShort": 4424.21004329248, "financingDifference": 4139.3506077986785, "grossPremium": 50427.18387992173, "shortSettlements": 43479.4287819752, "shortFees": 365.9499999999977, "terminalShortLiability": 2157.5950546540525, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 30359.893311991855, "longOnlyInterest": 26220.542704193176, "minCash": 14253.838892196682, "minLongOnlyCash": 14160.48687654881, "cycles": 282, "rolls": 17, "theta": { "longOnly": -16363.368210238297, "short": 58707.521475491565, "combined": 42344.15326525338, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 109104.9204083099, "cagr": 0.09616966464427601, "maxDrawdown": -0.09620516656328792 }, "longOnly": { "terminal": 85802.33963788065, "cagr": 0.0840496810162159, "maxDrawdown": -0.22026851617148446 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 23302.580770429253, "netShort": 15366.942757265238, "financingDifference": 7935.638013164076, "grossPremium": 55878.75852468445, "shortSettlements": 38075.26743242176, "shortFees": 365.9499999999977, "terminalShortLiability": 2070.598334997453, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 33542.183472640514, "longOnlyInterest": 25606.545459476438, "minCash": 14185.336950918976, "minLongOnlyCash": 13851.294227942572, "cycles": 282, "rolls": 17, "theta": { "longOnly": -17036.715308550003, "short": 66253.75930240916, "combined": 49217.04399385904, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 115554.92560303895, "cagr": 0.0990870053173647, "maxDrawdown": -0.0931315008207586 }, "longOnly": { "terminal": 85141.58607708926, "cagr": 0.0836619436770929, "maxDrawdown": -0.2250973473580774 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 30413.33952594969, "netShort": 20674.581379395364, "financingDifference": 9738.75814655441, "grossPremium": 58495.90350636052, "shortSettlements": 35424.28645269553, "shortFees": 365.9499999999977, "terminalShortLiability": 2031.0856742696274, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 35043.38760760611, "longOnlyInterest": 25304.629461051703, "minCash": 14151.467186831007, "minLongOnlyCash": 13707.81514694185, "cycles": 282, "rolls": 17, "theta": { "longOnly": -17377.338114790506, "short": 69907.14187333266, "combined": 52529.80375854229, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 127808.86361375163, "cagr": 0.10422519969500854, "maxDrawdown": -0.08871065962443547 }, "longOnly": { "terminal": 83822.0428132342, "cagr": 0.08287895725637107, "maxDrawdown": -0.2338841607920299 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 43986.820800517424, "netShort": 30743.53675763042, "financingDifference": 13243.284042886975, "grossPremium": 63759.09833100756, "shortSettlements": 30689.970225134035, "shortFees": 365.9499999999977, "terminalShortLiability": 1959.6413482431103, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 37951.85896763938, "longOnlyInterest": 24708.574924752407, "minCash": 14084.479126677463, "minLongOnlyCash": 13440.588656177948, "cycles": 282, "rolls": 17, "theta": { "longOnly": -18067.43694642268, "short": 77111.94086792524, "combined": 59044.503921502706, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 144551.6312726382, "cagr": 0.11053338478792751, "maxDrawdown": -0.08940577865601662 }, "longOnly": { "terminal": 81833.68954099828, "cagr": 0.0816766242862792, "maxDrawdown": -0.24532956523117289 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 62717.941731639905, "netShort": 44581.389894100575, "financingDifference": 18136.551837539188, "grossPremium": 71483.62218662661, "shortSettlements": 24666.562506770224, "shortFees": 365.9499999999977, "terminalShortLiability": 1869.7197857558194, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 41964.303259783745, "longOnlyInterest": 23827.751422244557, "minCash": 13985.843511168674, "minLongOnlyCash": 13082.737258320032, "cycles": 282, "rolls": 17, "theta": { "longOnly": -19126.687945113667, "short": 86903.72428944861, "combined": 67777.03634433499, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 97349.20005396563, "cagr": 0.09040191322910407, "maxDrawdown": -0.16161097074425468 }, "longOnly": { "terminal": 87131.24684049553, "cagr": 0.08482094953868669, "maxDrawdown": -0.20954669172148987 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 10217.9532134701, "netShort": 6419.529846511865, "financingDifference": 3798.4233669583264, "grossPremium": 16684.818542562552, "shortSettlements": 9180.438074575111, "shortFees": 232.05000000000138, "terminalShortLiability": 852.8006214755749, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 30018.966071151503, "longOnlyInterest": 26220.542704193176, "minCash": 14234.81791593282, "minLongOnlyCash": 14160.48687654881, "cycles": 179, "rolls": 17, "theta": { "longOnly": -16363.368210238297, "short": 31535.00840770439, "combined": 15171.6401974661, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 101355.87391168652, "cagr": 0.09243897397750978, "maxDrawdown": -0.16560209303486317 }, "longOnly": { "terminal": 85802.33963788065, "cagr": 0.0840496810162159, "maxDrawdown": -0.22026851617148446 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 15553.534273805868, "netShort": 10473.368132462492, "financingDifference": 5080.166141343463, "grossPremium": 18319.732475249373, "shortSettlements": 6782.625250170367, "shortFees": 232.05000000000138, "terminalShortLiability": 831.6890926165115, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 30686.7116008199, "longOnlyInterest": 25606.545459476438, "minCash": 14164.434982958042, "minLongOnlyCash": 13851.294227942572, "cycles": 179, "rolls": 17, "theta": { "longOnly": -17036.715308550003, "short": 33644.25720821518, "combined": 16607.541899665244, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 103054.98977052711, "cagr": 0.09327973272097645, "maxDrawdown": -0.1668540923185653 }, "longOnly": { "terminal": 85141.58607708926, "cagr": 0.0836619436770929, "maxDrawdown": -0.2250973473580774 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 17913.403693437853, "netShort": 12248.674038701723, "financingDifference": 5664.729654736202, "grossPremium": 19138.018533664886, "shortSettlements": 5833.402061264269, "shortFees": 232.05000000000138, "terminalShortLiability": 823.892433698893, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 30969.359115787905, "longOnlyInterest": 25304.629461051703, "minCash": 14129.626147935336, "minLongOnlyCash": 13707.81514694185, "cycles": 179, "rolls": 17, "theta": { "longOnly": -17377.338114790506, "short": 34566.78089590595, "combined": 17189.442781115387, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 105795.20957307656, "cagr": 0.09460819298649925, "maxDrawdown": -0.169786831595231 }, "longOnly": { "terminal": 83822.0428132342, "cagr": 0.08287895725637107, "maxDrawdown": -0.2338841607920299 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 21973.166759842352, "netShort": 15283.958663325082, "financingDifference": 6689.208096517261, "grossPremium": 20745.802542707566, "shortSettlements": 4417.175186636226, "shortFees": 232.05000000000138, "terminalShortLiability": 812.6186927462584, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 31397.783021269668, "longOnlyInterest": 24708.574924752407, "minCash": 14060.762789654767, "minLongOnlyCash": 13440.588656177948, "cycles": 179, "rolls": 17, "theta": { "longOnly": -18067.43694642268, "short": 36317.00543555482, "combined": 18249.568489132143, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 109085.14526336709, "cagr": 0.09616046991855343, "maxDrawdown": -0.17333460225948216 }, "longOnly": { "terminal": 81833.68954099828, "cagr": 0.0816766242862792, "maxDrawdown": -0.24532956523117289 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 27251.455722368803, "netShort": 19236.42909338775, "financingDifference": 8015.026628981079, "grossPremium": 23135.801442929664, "shortSettlements": 2863.3506174343197, "shortFees": 232.05000000000138, "terminalShortLiability": 803.9717321075926, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 31842.778051225636, "longOnlyInterest": 23827.751422244557, "minCash": 13959.321318110367, "minLongOnlyCash": 13082.737258320032, "cycles": 179, "rolls": 17, "theta": { "longOnly": -19126.687945113667, "short": 39091.24417753124, "combined": 19964.55623241757, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 98868.42873109829, "cagr": 0.09118356648734105, "maxDrawdown": -0.14340530818675523 }, "longOnly": { "terminal": 87131.24684049553, "cagr": 0.08482094953868669, "maxDrawdown": -0.20954669172148987 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 11737.181890602762, "netShort": 7110.263727964618, "financingDifference": 4626.9181626382015, "grossPremium": 23916.044349915035, "shortSettlements": 15447.971555554126, "shortFees": 232.05000000000138, "terminalShortLiability": 1125.75906639629, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 30847.460866831378, "longOnlyInterest": 26220.542704193176, "minCash": 14243.09841180726, "minLongOnlyCash": 14160.48687654881, "cycles": 179, "rolls": 17, "theta": { "longOnly": -16363.368210238297, "short": 38941.36607288389, "combined": 22577.997862645636, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 104868.5486465272, "cagr": 0.09416265756609143, "maxDrawdown": -0.14452043962217342 }, "longOnly": { "terminal": 85802.33963788065, "cagr": 0.0840496810162159, "maxDrawdown": -0.22026851617148446 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 19066.209008646547, "netShort": 12601.149734905157, "financingDifference": 6465.059273741361, "grossPremium": 26256.53741018851, "shortSettlements": 12313.697782276393, "shortFees": 232.05000000000138, "terminalShortLiability": 1109.6398930069597, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 32071.6047332178, "longOnlyInterest": 25606.545459476438, "minCash": 14173.53152937904, "minLongOnlyCash": 13851.294227942572, "cycles": 179, "rolls": 17, "theta": { "longOnly": -17036.715308550003, "short": 42264.299226042946, "combined": 25227.583917492895, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 107568.09551951752, "cagr": 0.09545031472863763, "maxDrawdown": -0.14487677967116697 }, "longOnly": { "terminal": 85141.58607708926, "cagr": 0.0836619436770929, "maxDrawdown": -0.2250973473580774 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 22426.509442428258, "netShort": 15126.651559076094, "financingDifference": 7299.8578833522115, "grossPremium": 27421.256487987175, "shortSettlements": 10958.130871833193, "shortFees": 232.05000000000138, "terminalShortLiability": 1104.4240570778868, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 32604.487344403915, "longOnlyInterest": 25304.629461051703, "minCash": 14139.129912150054, "minLongOnlyCash": 13707.81514694185, "cycles": 179, "rolls": 17, "theta": { "longOnly": -17377.338114790506, "short": 43968.6622133096, "combined": 26591.324098519173, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 112598.50023360581, "cagr": 0.0977696163601256, "maxDrawdown": -0.14469538171728547 }, "longOnly": { "terminal": 83822.0428132342, "cagr": 0.08287895725637107, "maxDrawdown": -0.2338841607920299 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 28776.457420371604, "netShort": 19903.810703910945, "financingDifference": 8872.646716460702, "grossPremium": 29744.410987048184, "shortSettlements": 8510.05379313479, "shortFees": 232.05000000000138, "terminalShortLiability": 1098.4964900024465, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 33581.22164121311, "longOnlyInterest": 24708.574924752407, "minCash": 14071.079379064326, "minLongOnlyCash": 13440.588656177948, "cycles": 179, "rolls": 17, "theta": { "longOnly": -18067.43694642268, "short": 47206.2902153996, "combined": 29138.85326897692, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 118691.89009679222, "cagr": 0.10045014775764982, "maxDrawdown": -0.14543203929487258 }, "longOnly": { "terminal": 81833.68954099828, "cagr": 0.0816766242862792, "maxDrawdown": -0.24532956523117289 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 36858.20055579394, "netShort": 25974.292289689183, "financingDifference": 10883.908266104747, "grossPremium": 33162.65854343037, "shortSettlements": 5857.999871694154, "shortFees": 232.05000000000138, "terminalShortLiability": 1098.3163820470281, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 34711.659688349304, "longOnlyInterest": 23827.751422244557, "minCash": 13970.853132975046, "minLongOnlyCash": 13082.737258320032, "cycles": 179, "rolls": 17, "theta": { "longOnly": -19126.687945113667, "short": 51259.463170771305, "combined": 32132.77522565771, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 98630.68043934209, "cagr": 0.09106200270182319, "maxDrawdown": -0.12501362387979698 }, "longOnly": { "terminal": 87131.24684049553, "cagr": 0.08482094953868669, "maxDrawdown": -0.20954669172148987 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 11499.433598846561, "netShort": 6516.723519572456, "financingDifference": 4982.710079274206, "grossPremium": 31780.749843429538, "shortSettlements": 23632.7555845469, "shortFees": 232.05000000000138, "terminalShortLiability": 1399.2207393101808, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 31203.252783467382, "longOnlyInterest": 26220.542704193176, "minCash": 14252.242690147741, "minLongOnlyCash": 14160.48687654881, "cycles": 179, "rolls": 17, "theta": { "longOnly": -16363.368210238297, "short": 45308.84166961129, "combined": 28945.473459373137, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 106897.76397924848, "cagr": 0.09513347408323103, "maxDrawdown": -0.12291525845083995 }, "longOnly": { "terminal": 85802.33963788065, "cagr": 0.0840496810162159, "maxDrawdown": -0.22026851617148446 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 21095.424341367834, "netShort": 13629.575785266512, "financingDifference": 7465.848556101373, "grossPremium": 35005.22120909785, "shortSettlements": 19752.49539024991, "shortFees": 232.05000000000138, "terminalShortLiability": 1391.1000335814265, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 33072.39401557781, "longOnlyInterest": 25606.545459476438, "minCash": 14183.576027574945, "minLongOnlyCash": 13851.294227942572, "cycles": 179, "rolls": 17, "theta": { "longOnly": -17036.715308550003, "short": 49895.03044052338, "combined": 32858.31513197337, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 110632.03266979837, "cagr": 0.09687495904114152, "maxDrawdown": -0.12223417136349002 }, "longOnly": { "terminal": 85141.58607708926, "cagr": 0.0836619436770929, "maxDrawdown": -0.2250973473580774 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 25490.446592709108, "netShort": 16906.43450349811, "financingDifference": 8584.012089211075, "grossPremium": 36550.71222178832, "shortSettlements": 18022.38300284652, "shortFees": 232.05000000000138, "terminalShortLiability": 1389.8447154436894, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 33888.64155026278, "longOnlyInterest": 25304.629461051703, "minCash": 14149.623564866157, "minLongOnlyCash": 13707.81514694185, "cycles": 179, "rolls": 17, "theta": { "longOnly": -17377.338114790506, "short": 52054.87358002678, "combined": 34677.53546523625, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 117666.06999537941, "cagr": 0.10000820607160099, "maxDrawdown": -0.11971571957748883 }, "longOnly": { "terminal": 83822.0428132342, "cagr": 0.08287895725637107, "maxDrawdown": -0.2338841607920299 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 33844.027182145204, "netShort": 23158.175172113006, "financingDifference": 10685.852010032235, "grossPremium": 39635.78689559919, "shortSettlements": 14853.745266952243, "shortFees": 232.05000000000138, "terminalShortLiability": 1391.816456533934, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 35394.42693478464, "longOnlyInterest": 24708.574924752407, "minCash": 14082.469435719899, "minLongOnlyCash": 13440.588656177948, "cycles": 179, "rolls": 17, "theta": { "longOnly": -18067.43694642268, "short": 56278.4906746621, "combined": 38211.053728239356, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 126676.29380774015, "cagr": 0.10377047166840492, "maxDrawdown": -0.11675493464037201 }, "longOnly": { "terminal": 81833.68954099828, "cagr": 0.0816766242862792, "maxDrawdown": -0.24532956523117289 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 44842.604266741866, "netShort": 31355.38076430792, "financingDifference": 13487.223502433906, "grossPremium": 44207.306513416595, "shortSettlements": 11216.359173386685, "shortFees": 232.05000000000138, "terminalShortLiability": 1403.5165757219886, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 37314.97492467846, "longOnlyInterest": 23827.751422244557, "minCash": 13983.583049857369, "minLongOnlyCash": 13082.737258320032, "cycles": 179, "rolls": 17, "theta": { "longOnly": -19126.687945113667, "short": 62492.28443506844, "combined": 43365.59648995467, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 97021.4296243006, "cagr": 0.09023174817614987, "maxDrawdown": -0.11992681876597688 }, "longOnly": { "terminal": 87131.24684049553, "cagr": 0.08482094953868669, "maxDrawdown": -0.20954669172148987 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 9890.182783805067, "netShort": 4939.11165074457, "financingDifference": 4951.0711330605845, "grossPremium": 40272.9903660506, "shortSettlements": 33426.81162661675, "shortFees": 232.05000000000138, "terminalShortLiability": 1675.0170886892818, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 31171.61383725376, "longOnlyInterest": 26220.542704193176, "minCash": 14262.281023447507, "minLongOnlyCash": 14160.48687654881, "cycles": 179, "rolls": 17, "theta": { "longOnly": -16363.368210238297, "short": 50707.77006605468, "combined": 34344.40185581631, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 106747.25705537088, "cagr": 0.09506207464596206, "maxDrawdown": -0.10628265895831124 }, "longOnly": { "terminal": 85802.33963788065, "cagr": 0.0840496810162159, "maxDrawdown": -0.22026851617148446 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 20944.91741749023, "netShort": 13077.559523313386, "financingDifference": 7867.357894176894, "grossPremium": 44455.64584222521, "shortSettlements": 29468.59635484018, "shortFees": 232.05000000000138, "terminalShortLiability": 1677.439964071641, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 33473.90335365333, "longOnlyInterest": 25606.545459476438, "minCash": 14194.601574953047, "minLongOnlyCash": 13851.294227942572, "cycles": 179, "rolls": 17, "theta": { "longOnly": -17036.715308550003, "short": 56372.11679708192, "combined": 39335.401488531694, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 111419.82270185945, "cagr": 0.09723517623497235, "maxDrawdown": -0.10517956349615931 }, "longOnly": { "terminal": 85141.58607708926, "cagr": 0.0836619436770929, "maxDrawdown": -0.2250973473580774 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 26278.236624770187, "netShort": 17035.3673731318, "financingDifference": 9242.869251638407, "grossPremium": 46514.16009372547, "shortSettlements": 27565.408720260628, "shortFees": 232.05000000000138, "terminalShortLiability": 1681.3340003330381, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 34547.49871269011, "longOnlyInterest": 25304.629461051703, "minCash": 14161.141602535497, "minLongOnlyCash": 13707.81514694185, "cycles": 179, "rolls": 17, "theta": { "longOnly": -17377.338114790506, "short": 59098.68167986651, "combined": 41721.34356507608, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 120231.55493866364, "cagr": 0.10110667302338139, "maxDrawdown": -0.10311860505366643 }, "longOnly": { "terminal": 83822.0428132342, "cagr": 0.08287895725637107, "maxDrawdown": -0.2338841607920299 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 36409.512125429435, "netShort": 24544.699916556896, "financingDifference": 11864.81220887258, "grossPremium": 50466.21902850548, "shortSettlements": 23996.017534924373, "shortFees": 232.05000000000138, "terminalShortLiability": 1693.4515770242115, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 36573.38713362499, "longOnlyInterest": 24708.574924752407, "minCash": 14094.970227500604, "minLongOnlyCash": 13440.588656177948, "cycles": 179, "rolls": 17, "theta": { "longOnly": -18067.43694642268, "short": 64284.967943805874, "combined": 46217.53099738333, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 132450.0127688883, "cagr": 0.10604934850480263, "maxDrawdown": -0.09980504319859484 }, "longOnly": { "terminal": 81833.68954099828, "cagr": 0.0816766242862792, "maxDrawdown": -0.24532956523117289 }, "stock": { "terminal": 143457.4164975595, "cagr": 0.11014296491328146, "maxDrawdown": -0.5518943806187988 }, "contribution": 50616.32322789001, "netShort": 35037.756748832064, "financingDifference": 15578.566479057958, "grossPremium": 56301.890732167405, "shortSettlements": 19311.9391935496, "shortFees": 232.05000000000138, "terminalShortLiability": 1720.1447897857463, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 39406.317901302515, "longOnlyInterest": 23827.751422244557, "minCash": 13997.552427608622, "minLongOnlyCash": 13082.737258320032, "cycles": 179, "rolls": 17, "theta": { "longOnly": -19126.687945113667, "short": 72178.35548345151, "combined": 53051.66753833788, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 95285.4067599611, "cagr": 0.1177556164382847, "maxDrawdown": -0.17007067955552857 }, "longOnly": { "terminal": 83264.92626246891, "cagr": 0.10871659760592367, "maxDrawdown": -0.19981252621535284 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 12020.480497492186, "netShort": 8962.566326072267, "financingDifference": 3057.9141714200814, "grossPremium": 22462.875470085437, "shortSettlements": 13007.805120964487, "shortFees": 376.34999999999735, "terminalShortLiability": 116.15402304868638, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 23881.336038575755, "longOnlyInterest": 20823.421867155674, "minCash": 13805.748775137548, "minLongOnlyCash": 13785.426791378362, "cycles": 290, "rolls": 13, "theta": { "longOnly": -14662.649477619623, "short": 38661.73392351551, "combined": 23999.084445896, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 100716.31185079875, "cagr": 0.12149253087720635, "maxDrawdown": -0.1557133915922887 }, "longOnly": { "terminal": 82376.13849393054, "cagr": 0.10800040096651875, "maxDrawdown": -0.20342547036466696 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 18340.17335686821, "netShort": 13996.940414394008, "financingDifference": 4343.232942474311, "grossPremium": 24862.22193815584, "shortSettlements": 10368.423731695246, "shortFees": 376.34999999999735, "terminalShortLiability": 120.50779206658717, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 24790.39068699608, "longOnlyInterest": 20447.15774452177, "minCash": 13701.10349600981, "minLongOnlyCash": 13678.712195835598, "cycles": 290, "rolls": 13, "theta": { "longOnly": -15249.345933052995, "short": 41283.56408516896, "combined": 26034.218152116013, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 103169.2142185718, "cagr": 0.1231186175078427, "maxDrawdown": -0.1493336408275049 }, "longOnly": { "terminal": 81930.32051530054, "cagr": 0.10763841578867805, "maxDrawdown": -0.20525215112915252 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 21238.893703271257, "netShort": 16314.680111430871, "financingDifference": 4924.213591840522, "grossPremium": 26013.042819194074, "shortSettlements": 9199.240863919647, "shortFees": 376.34999999999735, "terminalShortLiability": 122.77184384355735, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 25184.7565826846, "longOnlyInterest": 20260.54299084408, "minCash": 13649.6764985105, "minLongOnlyCash": 13626.252417499067, "cycles": 290, "rolls": 13, "theta": { "longOnly": -15548.275032147916, "short": 42457.462616215234, "combined": 26909.18758406737, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 107752.85398958114, "cagr": 0.12606214956307227, "maxDrawdown": -0.13758298791169377 }, "longOnly": { "terminal": 81034.45958201188, "cagr": 0.10690538317900944, "maxDrawdown": -0.2089575896284177 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 26718.394407569256, "netShort": 20704.21964569986, "financingDifference": 6014.174761869566, "grossPremium": 28279.05169353014, "shortSettlements": 7071.052393209158, "shortFees": 376.34999999999735, "terminalShortLiability": 127.42965462112323, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 25904.2142100949, "longOnlyInterest": 19890.039448225332, "minCash": 13548.573232705883, "minLongOnlyCash": 13523.08733459559, "cycles": 290, "rolls": 13, "theta": { "longOnly": -16157.161696563053, "short": 44529.73749408597, "combined": 28372.575797522997, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 114034.63454157495, "cagr": 0.1299105754975396, "maxDrawdown": -0.12159481272920514 }, "longOnly": { "terminal": 79676.58980731931, "cagr": 0.1057796639065347, "maxDrawdown": -0.21466986092973195 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 34358.04473425564, "netShort": 26818.29288899341, "financingDifference": 7539.751845262268, "grossPremium": 31631.87954289257, "shortSettlements": 4302.588586453264, "shortFees": 376.34999999999735, "terminalShortLiability": 134.64806744589737, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 26880.056157890984, "longOnlyInterest": 19340.304312628716, "minCash": 13401.177243732634, "minLongOnlyCash": 13372.607951038786, "cycles": 290, "rolls": 13, "theta": { "longOnly": -17097.155079884404, "short": 47696.33680314853, "combined": 30599.181723264064, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 97596.26735726488, "cagr": 0.11936953488257185, "maxDrawdown": -0.16291038116198286 }, "longOnly": { "terminal": 83264.92626246891, "cagr": 0.10871659760592367, "maxDrawdown": -0.19981252621535284 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 14331.341094795964, "netShort": 10728.341316848522, "financingDifference": 3602.999777947567, "grossPremium": 31970.689843817814, "shortSettlements": 20672.6346271398, "shortFees": 376.34999999999735, "terminalShortLiability": 193.36389982949527, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 24426.42164510324, "longOnlyInterest": 20823.421867155674, "minCash": 13814.889510129819, "minLongOnlyCash": 13785.426791378362, "cycles": 290, "rolls": 13, "theta": { "longOnly": -14662.649477619623, "short": 48563.942561219425, "combined": 33901.293083599965, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 106359.57352726781, "cagr": 0.12518005972047597, "maxDrawdown": -0.14042514691990826 }, "longOnly": { "terminal": 82376.13849393054, "cagr": 0.10800040096651875, "maxDrawdown": -0.20342547036466696 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 23983.43503333727, "netShort": 18349.19020203647, "financingDifference": 5634.244831300886, "grossPremium": 35413.281146050285, "shortSettlements": 16486.02942038353, "shortFees": 376.34999999999735, "terminalShortLiability": 201.71152363028853, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 26081.402575822656, "longOnlyInterest": 20447.15774452177, "minCash": 13711.143677545577, "minLongOnlyCash": 13678.712195835598, "cycles": 290, "rolls": 13, "theta": { "longOnly": -15249.345933052995, "short": 52736.55175825739, "combined": 37487.20582520431, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 110101.09816948746, "cagr": 0.12752485447332162, "maxDrawdown": -0.1329294736604254 }, "longOnly": { "terminal": 81930.32051530054, "cagr": 0.10763841578867805, "maxDrawdown": -0.20525215112915252 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 28170.777654186924, "netShort": 21617.55711345155, "financingDifference": 6553.220540735485, "grossPremium": 37106.47316311096, "shortSettlements": 14906.572209783786, "shortFees": 376.34999999999735, "terminalShortLiability": 205.9938398756259, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 26813.763531579563, "longOnlyInterest": 20260.54299084408, "minCash": 13660.165420347272, "minLongOnlyCash": 13626.252417499067, "cycles": 290, "rolls": 13, "theta": { "longOnly": -15548.275032147916, "short": 54776.60783893094, "combined": 39228.33280678284, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 116728.30867331564, "cagr": 0.13150009513145133, "maxDrawdown": -0.12010063111377156 }, "longOnly": { "terminal": 81034.45958201188, "cagr": 0.10690538317900944, "maxDrawdown": -0.2089575896284177 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 35693.84909130375, "netShort": 27531.951761896828, "financingDifference": 8161.897329406904, "grossPremium": 40495.90303455989, "shortSettlements": 12372.883154748564, "shortFees": 376.34999999999735, "terminalShortLiability": 214.71811791449795, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 28051.936777632236, "longOnlyInterest": 19890.039448225332, "minCash": 13559.957675343414, "minLongOnlyCash": 13523.08733459559, "cycles": 290, "rolls": 13, "theta": { "longOnly": -16157.161696563053, "short": 58786.27886367317, "combined": 42629.11716711015, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 125313.8750100345, "cagr": 0.13634584326053556, "maxDrawdown": -0.10433082525015669 }, "longOnly": { "terminal": 79676.58980731931, "cagr": 0.1057796639065347, "maxDrawdown": -0.21466986092973195 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 45637.2852027152, "netShort": 35441.66688700076, "financingDifference": 10195.618315714404, "grossPremium": 45318.58447758336, "shortSettlements": 9272.483782608268, "shortFees": 376.34999999999735, "terminalShortLiability": 228.0838079743333, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 29535.92262834312, "longOnlyInterest": 19340.304312628716, "minCash": 13413.900086406988, "minLongOnlyCash": 13372.607951038786, "cycles": 290, "rolls": 13, "theta": { "longOnly": -17097.155079884404, "short": 63884.26463317026, "combined": 46787.10955328586, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 96379.32415461908, "cagr": 0.11852414670445799, "maxDrawdown": -0.16107745968468623 }, "longOnly": { "terminal": 83264.92626246891, "cagr": 0.10871659760592367, "maxDrawdown": -0.19981252621535284 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 13114.39789215017, "netShort": 9741.130149007391, "financingDifference": 3373.2677431428383, "grossPremium": 42133.454333464535, "shortSettlements": 31728.454543950258, "shortFees": 376.34999999999735, "terminalShortLiability": 287.5196405068891, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 24196.689610298512, "longOnlyInterest": 20823.421867155674, "minCash": 13824.98216788719, "minLongOnlyCash": 13785.426791378362, "cycles": 290, "rolls": 13, "theta": { "longOnly": -14662.649477619623, "short": 55689.50059290206, "combined": 41026.85111528253, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 107957.44589320773, "cagr": 0.1261907737576613, "maxDrawdown": -0.1346656656220102 }, "longOnly": { "terminal": 82376.13849393054, "cagr": 0.10800040096651875, "maxDrawdown": -0.20342547036466696 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 25581.307399277182, "netShort": 19557.59857896366, "financingDifference": 6023.708820313612, "grossPremium": 46892.122902276, "shortSettlements": 26656.898051905486, "shortFees": 376.34999999999735, "terminalShortLiability": 301.27627140685433, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 26470.86656483538, "longOnlyInterest": 20447.15774452177, "minCash": 13722.228285457219, "minLongOnlyCash": 13678.712195835598, "cycles": 290, "rolls": 13, "theta": { "longOnly": -15249.345933052995, "short": 62364.41393467677, "combined": 47115.06800162366, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 113524.59446942339, "cagr": 0.1296056358810984, "maxDrawdown": -0.12501482886329263 }, "longOnly": { "terminal": 81930.32051530054, "cagr": 0.10763841578867805, "maxDrawdown": -0.20525215112915252 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 31594.27395412285, "netShort": 24280.33782206655, "financingDifference": 7313.936132056311, "grossPremium": 49232.923519049546, "shortSettlements": 24267.96007655117, "shortFees": 376.34999999999735, "terminalShortLiability": 308.2756204318258, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 27574.47912290039, "longOnlyInterest": 20260.54299084408, "minCash": 13671.744840652435, "minLongOnlyCash": 13626.252417499067, "cycles": 290, "rolls": 13, "theta": { "longOnly": -15548.275032147916, "short": 65597.34582630525, "combined": 50049.07079415723, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 123615.21107789835, "cagr": 0.1354123988305156, "maxDrawdown": -0.1096985803361612 }, "longOnly": { "terminal": 81034.45958201188, "cagr": 0.10690538317900944, "maxDrawdown": -0.2089575896284177 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 42580.75149588646, "netShort": 32888.8398825106, "financingDifference": 9691.91161337584, "grossPremium": 53704.853526103565, "shortSettlements": 20117.214385347565, "shortFees": 376.34999999999735, "terminalShortLiability": 322.4492582454019, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 29581.951061601172, "longOnlyInterest": 19890.039448225332, "minCash": 13572.524402749019, "minLongOnlyCash": 13523.08733459559, "cycles": 290, "rolls": 13, "theta": { "longOnly": -16157.161696563053, "short": 71187.55505183071, "combined": 55030.393355267544, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 136639.6628193764, "cagr": 0.14228158701383786, "maxDrawdown": -0.09149294130275132 }, "longOnly": { "terminal": 79676.58980731931, "cagr": 0.1057796639065347, "maxDrawdown": -0.21466986092973195 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 56963.07301205708, "netShort": 44192.166520313214, "financingDifference": 12770.90649174384, "grossPremium": 60380.64096246673, "shortSettlements": 15468.118468952209, "shortFees": 376.34999999999735, "terminalShortLiability": 344.0059732013111, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 32111.210804372557, "longOnlyInterest": 19340.304312628716, "minCash": 13427.942003181102, "minLongOnlyCash": 13372.607951038786, "cycles": 290, "rolls": 13, "theta": { "longOnly": -17097.155079884404, "short": 79089.1763435959, "combined": 61992.021263711475, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 93105.78404183702, "cagr": 0.11619928438061522, "maxDrawdown": -0.1634570497914828 }, "longOnly": { "terminal": 83264.92626246891, "cagr": 0.10871659760592367, "maxDrawdown": -0.19981252621535284 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 9840.857779368103, "netShort": 7172.989304653967, "financingDifference": 2667.8684747142397, "grossPremium": 53176.96820939598, "shortSettlements": 45229.37404453321, "shortFees": 376.34999999999735, "terminalShortLiability": 398.2548602088059, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 23491.290341869913, "longOnlyInterest": 20823.421867155674, "minCash": 13836.059825165408, "minLongOnlyCash": 13785.426791378362, "cycles": 290, "rolls": 13, "theta": { "longOnly": -14662.649477619623, "short": 60792.83302191288, "combined": 46130.18354429349, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 106479.40627353874, "cagr": 0.12525635171240568, "maxDrawdown": -0.13228424072918987 }, "longOnly": { "terminal": 82376.13849393054, "cagr": 0.10800040096651875, "maxDrawdown": -0.20342547036466696 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 24103.2677796082, "netShort": 18421.285564429905, "financingDifference": 5681.982215178403, "grossPremium": 59183.30247904623, "shortSettlements": 39966.75746599857, "shortFees": 376.34999999999735, "terminalShortLiability": 418.90944861775665, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 26129.139959700173, "longOnlyInterest": 20447.15774452177, "minCash": 13734.393458899036, "minLongOnlyCash": 13678.712195835598, "cycles": 290, "rolls": 13, "theta": { "longOnly": -15249.345933052995, "short": 68840.60365509518, "combined": 53591.25772204206, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 113020.96255659191, "cagr": 0.12930326153667937, "maxDrawdown": -0.12133594598849251 }, "longOnly": { "terminal": 81930.32051530054, "cagr": 0.10763841578867805, "maxDrawdown": -0.20525215112915252 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 31090.642041291372, "netShort": 23946.72079073458, "financingDifference": 7143.92125055677, "grossPremium": 62163.15887185513, "shortSettlements": 37410.72720887738, "shortFees": 376.34999999999735, "terminalShortLiability": 429.3608722431685, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 27404.46424140085, "longOnlyInterest": 20260.54299084408, "minCash": 13684.452413569663, "minLongOnlyCash": 13626.252417499067, "cycles": 290, "rolls": 13, "theta": { "longOnly": -15548.275032147916, "short": 72796.79723401311, "combined": 57248.52220186524, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 125649.92224270586, "cagr": 0.13652909700778104, "maxDrawdown": -0.10242118895015384 }, "longOnly": { "terminal": 81034.45958201188, "cagr": 0.10690538317900944, "maxDrawdown": -0.2089575896284177 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 44615.46266069397, "netShort": 34539.19521436408, "financingDifference": 10076.267446329803, "grossPremium": 68023.73414285388, "shortSettlements": 32657.750787304773, "shortFees": 376.34999999999735, "terminalShortLiability": 450.43814118502326, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 29966.306894555135, "longOnlyInterest": 19890.039448225332, "minCash": 13586.31406684339, "minLongOnlyCash": 13523.08733459559, "cycles": 290, "rolls": 13, "theta": { "longOnly": -16157.161696563053, "short": 80642.98676329556, "combined": 64485.82506673259, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 143171.0888840566, "cagr": 0.14549764713325453, "maxDrawdown": -0.08425577174873555 }, "longOnly": { "terminal": 79676.58980731931, "cagr": 0.1057796639065347, "maxDrawdown": -0.21466986092973195 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 63494.499076737295, "netShort": 49285.858015021804, "financingDifference": 14208.641061715418, "grossPremium": 76560.59271165692, "shortSettlements": 26416.05061842506, "shortFees": 376.34999999999735, "terminalShortLiability": 482.33407821006153, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 33548.94537434413, "longOnlyInterest": 19340.304312628716, "minCash": 13443.348062786295, "minLongOnlyCash": 13372.607951038786, "cycles": 290, "rolls": 13, "theta": { "longOnly": -17097.155079884404, "short": 91854.32614192055, "combined": 74757.17106203613, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 90840.28548713934, "cagr": 0.11454491399065425, "maxDrawdown": -0.1522134880632996 }, "longOnly": { "terminal": 83264.92626246891, "cagr": 0.10871659760592367, "maxDrawdown": -0.19981252621535284 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 7575.359224670421, "netShort": 5487.730660173875, "financingDifference": 2087.628564496663, "grossPremium": 19338.7672906369, "shortSettlements": 12743.075102640783, "shortFees": 281.45000000000067, "terminalShortLiability": 826.5115278222424, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 22911.050431652337, "longOnlyInterest": 20823.421867155674, "minCash": 13809.785939864154, "minLongOnlyCash": 13785.426791378362, "cycles": 217, "rolls": 13, "theta": { "longOnly": -14662.649477619623, "short": 34745.88599639421, "combined": 20083.236518774575, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 96649.35052185383, "cagr": 0.1187125916043743, "maxDrawdown": -0.1420812937408048 }, "longOnly": { "terminal": 82376.13849393054, "cagr": 0.10800040096651875, "maxDrawdown": -0.20342547036466696 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 14273.212027923291, "netShort": 10831.753879799153, "financingDifference": 3441.4581481242276, "grossPremium": 21367.71254289676, "shortSettlements": 9474.63240803318, "shortFees": 281.45000000000067, "terminalShortLiability": 779.8762550644255, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 23888.615892645998, "longOnlyInterest": 20447.15774452177, "minCash": 13705.532598730038, "minLongOnlyCash": 13678.712195835598, "cycles": 217, "rolls": 13, "theta": { "longOnly": -15249.345933052995, "short": 37005.402167095, "combined": 21756.056234041993, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 99076.5859258753, "cagr": 0.12038463087172002, "maxDrawdown": -0.1378081450559624 }, "longOnly": { "terminal": 81930.32051530054, "cagr": 0.10763841578867805, "maxDrawdown": -0.20525215112915252 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 17146.265410574764, "netShort": 13117.031019785742, "financingDifference": 4029.2343907890718, "grossPremium": 22381.655089846237, "shortSettlements": 8222.512095446724, "shortFees": 281.45000000000067, "terminalShortLiability": 760.661974613771, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 24289.77738163315, "longOnlyInterest": 20260.54299084408, "minCash": 13654.300783651397, "minLongOnlyCash": 13626.252417499067, "cycles": 217, "rolls": 13, "theta": { "longOnly": -15548.275032147916, "short": 38151.458800133274, "combined": 22603.18376798535, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 103093.9366832519, "cagr": 0.12306925722269635, "maxDrawdown": -0.130847359448926 }, "longOnly": { "terminal": 81034.45958201188, "cagr": 0.10690538317900944, "maxDrawdown": -0.2089575896284177 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 22059.477101240016, "netShort": 17047.16211545723, "financingDifference": 5012.31498578289, "grossPremium": 24320.62233770305, "shortSettlements": 6263.2956891909325, "shortFees": 281.45000000000067, "terminalShortLiability": 728.7145330548867, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 24902.354434008223, "longOnlyInterest": 19890.039448225332, "minCash": 13553.586316580027, "minLongOnlyCash": 13523.08733459559, "cycles": 217, "rolls": 13, "theta": { "longOnly": -16157.161696563053, "short": 39785.375698100346, "combined": 23628.214001537337, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 107728.5716608069, "cagr": 0.12604686835374634, "maxDrawdown": -0.12500147941449058 }, "longOnly": { "terminal": 79676.58980731931, "cagr": 0.1057796639065347, "maxDrawdown": -0.21466986092973195 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 28051.981853487596, "netShort": 21841.792505373516, "financingDifference": 6210.18934811416, "grossPremium": 27161.69465300589, "shortSettlements": 4345.187725548675, "shortFees": 281.45000000000067, "terminalShortLiability": 693.2644220836949, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 25550.493660742875, "longOnlyInterest": 19340.304312628716, "minCash": 13406.769631445912, "minLongOnlyCash": 13372.607951038786, "cycles": 217, "rolls": 13, "theta": { "longOnly": -17097.155079884404, "short": 41935.538063296626, "combined": 24838.382983412088, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 90533.4660175196, "cagr": 0.1143178856650755, "maxDrawdown": -0.13796820003682808 }, "longOnly": { "terminal": 83264.92626246891, "cagr": 0.10871659760592367, "maxDrawdown": -0.19981252621535284 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 7268.53975505069, "netShort": 5046.602406540525, "financingDifference": 2221.9373485102697, "grossPremium": 27545.295511850094, "shortSettlements": 21117.40152356956, "shortFees": 281.45000000000067, "terminalShortLiability": 1099.8415817400087, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 23045.359215665943, "longOnlyInterest": 20823.421867155674, "minCash": 13820.681480587678, "minLongOnlyCash": 13785.426791378362, "cycles": 217, "rolls": 13, "theta": { "longOnly": -14662.649477619623, "short": 43666.70723143331, "combined": 29004.057753813693, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 98568.31385660461, "cagr": 0.12003771090153403, "maxDrawdown": -0.12474734221896555 }, "longOnly": { "terminal": 82376.13849393054, "cagr": 0.10800040096651875, "maxDrawdown": -0.20342547036466696 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 16192.175362674068, "netShort": 12136.552448199622, "financingDifference": 4055.622914474552, "grossPremium": 30458.965081690323, "shortSettlements": 16986.481441301683, "shortFees": 281.45000000000067, "terminalShortLiability": 1054.4811921890187, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 24502.780658996322, "longOnlyInterest": 20447.15774452177, "minCash": 13717.496900458898, "minLongOnlyCash": 13678.712195835598, "cycles": 217, "rolls": 13, "theta": { "longOnly": -15249.345933052995, "short": 47308.02238028398, "combined": 32058.676447231093, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 102348.25192057191, "cagr": 0.12257846577785991, "maxDrawdown": -0.1189866678596192 }, "longOnly": { "terminal": 81930.32051530054, "cagr": 0.10763841578867805, "maxDrawdown": -0.20525215112915252 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 20417.931405271374, "netShort": 15494.794586042884, "financingDifference": 4923.1368192285445, "grossPremium": 31900.168795900532, "shortSettlements": 15088.064470852383, "shortFees": 281.45000000000067, "terminalShortLiability": 1035.8597390052637, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 25183.679810072623, "longOnlyInterest": 20260.54299084408, "minCash": 13666.798072462003, "minLongOnlyCash": 13626.252417499067, "cycles": 217, "rolls": 13, "theta": { "longOnly": -15548.275032147916, "short": 49001.11393050948, "combined": 33452.838898361515, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 109206.15848903252, "cagr": 0.12697089192664213, "maxDrawdown": -0.10894144398332617 }, "longOnly": { "terminal": 81034.45958201188, "cagr": 0.10690538317900944, "maxDrawdown": -0.2089575896284177 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 28171.698907020633, "netShort": 21639.725546352987, "financingDifference": 6531.9733606677255, "grossPremium": 34753.24220772992, "shortSettlements": 11826.91048961969, "shortFees": 281.45000000000067, "terminalShortLiability": 1005.156171757244, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 26422.012808893058, "longOnlyInterest": 19890.039448225332, "minCash": 13567.146803097181, "minLongOnlyCash": 13523.08733459559, "cycles": 217, "rolls": 13, "theta": { "longOnly": -16157.161696563053, "short": 52434.685783848065, "combined": 36277.524087285004, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 117677.95160762333, "cagr": 0.13205226393459002, "maxDrawdown": -0.11000682772858628 }, "longOnly": { "terminal": 79676.58980731931, "cagr": 0.1057796639065347, "maxDrawdown": -0.21466986092973195 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 38001.36180030402, "netShort": 29441.727542316577, "financingDifference": 8559.634257987425, "grossPremium": 38940.33422155593, "shortSettlements": 8245.22159419182, "shortFees": 281.45000000000067, "terminalShortLiability": 971.9350850475337, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 27899.93857061614, "longOnlyInterest": 19340.304312628716, "minCash": 13421.918004369929, "minLongOnlyCash": 13372.607951038786, "cycles": 217, "rolls": 13, "theta": { "longOnly": -17097.155079884404, "short": 57030.72861114646, "combined": 39933.57353126194, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 89267.30960898142, "cagr": 0.1133732904249225, "maxDrawdown": -0.12425622194491359 }, "longOnly": { "terminal": 83264.92626246891, "cagr": 0.10871659760592367, "maxDrawdown": -0.19981252621535284 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 6002.383346512506, "netShort": 3914.359590529839, "financingDifference": 2088.0237559827474, "grossPremium": 36489.69484384721, "shortSettlements": 30922.962565465696, "shortFees": 281.45000000000067, "terminalShortLiability": 1370.9226878516745, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 22911.44562313842, "longOnlyInterest": 20823.421867155674, "minCash": 13832.709481564692, "minLongOnlyCash": 13785.426791378362, "cycles": 217, "rolls": 13, "theta": { "longOnly": -14662.649477619623, "short": 50262.77791363704, "combined": 35600.12843601746, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 99459.10701405213, "cagr": 0.12064461849000918, "maxDrawdown": -0.1074210495295167 }, "longOnly": { "terminal": 82376.13849393054, "cagr": 0.10800040096651875, "maxDrawdown": -0.20342547036466696 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 17082.96852012159, "netShort": 12681.661294016298, "financingDifference": 4401.307226105364, "grossPremium": 40393.13086230879, "shortSettlements": 26098.889425665668, "shortFees": 281.45000000000067, "terminalShortLiability": 1331.1301426268244, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 24848.464970627134, "longOnlyInterest": 20447.15774452177, "minCash": 13730.70309278188, "minLongOnlyCash": 13678.712195835598, "cycles": 217, "rolls": 13, "theta": { "longOnly": -15249.345933052995, "short": 56042.78985438531, "combined": 40793.44392133237, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 104025.59947486281, "cagr": 0.1236777880764055, "maxDrawdown": -0.10059851942884301 }, "longOnly": { "terminal": 81930.32051530054, "cagr": 0.10763841578867805, "maxDrawdown": -0.20525215112915252 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 22095.278959562274, "netShort": 16628.26740051408, "financingDifference": 5467.011559048304, "grossPremium": 42319.51819595212, "shortSettlements": 24094.73872842526, "shortFees": 281.45000000000067, "terminalShortLiability": 1315.0620670127807, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 25727.554549892382, "longOnlyInterest": 20260.54299084408, "minCash": 13680.591712981608, "minLongOnlyCash": 13626.252417499067, "cycles": 217, "rolls": 13, "theta": { "longOnly": -15548.275032147916, "short": 58738.436344897105, "combined": 43190.16131274911, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 112529.38287890804, "cagr": 0.12900689953712186, "maxDrawdown": -0.1000691886975491 }, "longOnly": { "terminal": 81034.45958201188, "cagr": 0.10690538317900944, "maxDrawdown": -0.2089575896284177 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 31494.92329689616, "netShort": 24031.548703254506, "financingDifference": 7463.37459364166, "grossPremium": 46128.79842007848, "shortSettlements": 20526.591010432978, "shortFees": 281.45000000000067, "terminalShortLiability": 1289.2087063909912, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 27353.414041866992, "longOnlyInterest": 19890.039448225332, "minCash": 13582.11205804174, "minLongOnlyCash": 13523.08733459559, "cycles": 217, "rolls": 13, "theta": { "longOnly": -16157.161696563053, "short": 63563.24389346782, "combined": 47406.08219690486, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 124604.7253528659, "cagr": 0.135957608313924, "maxDrawdown": -0.09963200219470181 }, "longOnly": { "terminal": 79676.58980731931, "cagr": 0.1057796639065347, "maxDrawdown": -0.21466986092973195 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 44928.1355455466, "netShort": 34685.34285414051, "financingDifference": 10242.792691406095, "grossPremium": 51752.42683057358, "shortSettlements": 15522.662841689114, "shortFees": 281.45000000000067, "terminalShortLiability": 1262.9711347439638, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 29583.09700403481, "longOnlyInterest": 19340.304312628716, "minCash": 13438.632514767556, "minLongOnlyCash": 13372.607951038786, "cycles": 217, "rolls": 13, "theta": { "longOnly": -17097.155079884404, "short": 70312.87955595796, "combined": 53215.72447607357, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 85957.56386710348, "cagr": 0.11084332116026374, "maxDrawdown": -0.1188077357532753 }, "longOnly": { "terminal": 83264.92626246891, "cagr": 0.10871659760592367, "maxDrawdown": -0.19981252621535284 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 2692.6376046345686, "netShort": 1182.026111762882, "financingDifference": 1510.6114928717398, "grossPremium": 45990.21277732406, "shortSettlements": 42885.76639255701, "shortFees": 281.45000000000067, "terminalShortLiability": 1640.9702730041658, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 22334.033360027413, "longOnlyInterest": 20823.421867155674, "minCash": 13845.909039217318, "minLongOnlyCash": 13785.426791378362, "cycles": 217, "rolls": 13, "theta": { "longOnly": -14662.649477619623, "short": 54810.63018879087, "combined": 40147.98071117127, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 97812.28042912511, "cagr": 0.1195185591025969, "maxDrawdown": -0.09818414867215719 }, "longOnly": { "terminal": 82376.13849393054, "cagr": 0.10800040096651875, "maxDrawdown": -0.20342547036466696 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 15436.141935194566, "netShort": 11238.350407684271, "financingDifference": 4197.791527510395, "grossPremium": 51176.539274744595, "shortSettlements": 38046.52633329201, "shortFees": 281.45000000000067, "terminalShortLiability": 1610.2125337683162, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 24644.949272032165, "longOnlyInterest": 20447.15774452177, "minCash": 13745.193834765236, "minLongOnlyCash": 13678.712195835598, "cycles": 217, "rolls": 13, "theta": { "longOnly": -15249.345933052995, "short": 62111.534110779365, "combined": 46862.188177726406, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 103359.47522384758, "cagr": 0.12324322296187762, "maxDrawdown": -0.09722955475130324 }, "longOnly": { "terminal": 81930.32051530054, "cagr": 0.10763841578867805, "maxDrawdown": -0.20525215112915252 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 21429.154708547037, "netShort": 15970.778842456099, "financingDifference": 5458.375866090948, "grossPremium": 53653.673699953906, "shortSettlements": 35803.116098353865, "shortFees": 281.45000000000067, "terminalShortLiability": 1598.328759143942, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 25718.918856935026, "longOnlyInterest": 20260.54299084408, "minCash": 13695.72612280705, "minLongOnlyCash": 13626.252417499067, "cycles": 217, "rolls": 13, "theta": { "longOnly": -15548.275032147916, "short": 65541.99619459233, "combined": 49993.72116244439, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 114161.05817291069, "cagr": 0.12998596263236184, "maxDrawdown": -0.09564888168429242 }, "longOnly": { "terminal": 81034.45958201188, "cagr": 0.10690538317900944, "maxDrawdown": -0.2089575896284177 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 33126.59859089881, "netShort": 25179.323592865825, "financingDifference": 7947.274998032972, "grossPremium": 58497.38436149626, "shortSettlements": 31456.226127541042, "shortFees": 281.45000000000067, "terminalShortLiability": 1580.3846410893925, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 27837.314446258304, "longOnlyInterest": 19890.039448225332, "minCash": 13598.529970855434, "minLongOnlyCash": 13523.08733459559, "cycles": 217, "rolls": 13, "theta": { "longOnly": -16157.161696563053, "short": 72164.97947002448, "combined": 56007.81777346146, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 129214.9837812568, "cagr": 0.1384453354834252, "maxDrawdown": -0.09456880096543496 }, "longOnly": { "terminal": 79676.58980731931, "cagr": 0.1057796639065347, "maxDrawdown": -0.21466986092973195 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 49538.39397393749, "netShort": 38112.13823919438, "financingDifference": 11426.255734743048, "grossPremium": 65657.0531420566, "shortSettlements": 25698.204120193903, "shortFees": 281.45000000000067, "terminalShortLiability": 1565.2607826683209, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 30766.560047371764, "longOnlyInterest": 19340.304312628716, "minCash": 13456.966147897603, "minLongOnlyCash": 13372.607951038786, "cycles": 217, "rolls": 13, "theta": { "longOnly": -17097.155079884404, "short": 81857.94886511468, "combined": 64760.79378523025, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 83141.04509500423, "cagr": 0.10861720470662228, "maxDrawdown": -0.14812034029743204 }, "longOnly": { "terminal": 83264.92626246891, "cagr": 0.10871659760592367, "maxDrawdown": -0.19981252621535284 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": -123.88116746468586, "netShort": -2205.316501388381, "financingDifference": 2081.435333923793, "grossPremium": 15232.374369149764, "shortSettlements": 16999.24783578879, "shortFees": 178.7500000000009, "terminalShortLiability": 259.69303474935543, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 22904.857201079467, "longOnlyInterest": 20823.421867155674, "minCash": 13815.311428739555, "minLongOnlyCash": 13785.426791378362, "cycles": 138, "rolls": 13, "theta": { "longOnly": -14662.649477619623, "short": 29777.330810804804, "combined": 15114.68133318519, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 87406.16630316467, "cagr": 0.11196170331300559, "maxDrawdown": -0.14273371400830026 }, "longOnly": { "terminal": 82376.13849393054, "cagr": 0.10800040096651875, "maxDrawdown": -0.20342547036466696 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 5030.027809234132, "netShort": 2051.830487901458, "financingDifference": 2978.1973213327, "grossPremium": 16734.895272121375, "shortSettlements": 14223.56259290888, "shortFees": 178.7500000000009, "terminalShortLiability": 280.75219131103637, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 23425.35506585447, "longOnlyInterest": 20447.15774452177, "minCash": 13711.591154206071, "minLongOnlyCash": 13678.712195835598, "cycles": 138, "rolls": 13, "theta": { "longOnly": -15249.345933052995, "short": 31444.38780221723, "combined": 16195.041869164197, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 89305.63675022026, "cagr": 0.11340206805295883, "maxDrawdown": -0.14060166745091762 }, "longOnly": { "terminal": 81930.32051530054, "cagr": 0.10763841578867805, "maxDrawdown": -0.20525215112915252 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 7375.316234919723, "netShort": 3997.5945617423677, "financingDifference": 3377.7216731774242, "grossPremium": 17478.592297387666, "shortSettlements": 13010.99231506851, "shortFees": 178.7500000000009, "terminalShortLiability": 291.25542057678757, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 23638.264664021503, "longOnlyInterest": 20260.54299084408, "minCash": 13660.624577109582, "minLongOnlyCash": 13626.252417499067, "cycles": 138, "rolls": 13, "theta": { "longOnly": -15548.275032147916, "short": 32274.271530440583, "combined": 16725.996498292607, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 92652.17595374388, "cagr": 0.11587109092336356, "maxDrawdown": -0.1366980698632485 }, "longOnly": { "terminal": 81034.45958201188, "cagr": 0.10690538317900944, "maxDrawdown": -0.2089575896284177 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 11617.716371731993, "netShort": 7487.188989139831, "financingDifference": 4130.527382592198, "grossPremium": 18966.469710614896, "shortSettlements": 10988.327837003406, "shortFees": 178.7500000000009, "terminalShortLiability": 312.20288447165814, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 24020.56683081753, "longOnlyInterest": 19890.039448225332, "minCash": 13560.438009406225, "minLongOnlyCash": 13523.08733459559, "cycles": 138, "rolls": 13, "theta": { "longOnly": -16157.161696563053, "short": 34119.8541866182, "combined": 17962.69249005509, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 96678.26724271892, "cagr": 0.11873274254848254, "maxDrawdown": -0.13137871734595352 }, "longOnly": { "terminal": 79676.58980731931, "cagr": 0.1057796639065347, "maxDrawdown": -0.21466986092973195 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 17001.677435399615, "netShort": 11858.38972778412, "financingDifference": 5143.287707615531, "grossPremium": 21201.16169589309, "shortSettlements": 8820.55839897294, "shortFees": 178.7500000000009, "terminalShortLiability": 343.46356913602705, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 24483.592020244247, "longOnlyInterest": 19340.304312628716, "minCash": 13414.406773656438, "minLongOnlyCash": 13372.607951038786, "cycles": 138, "rolls": 13, "theta": { "longOnly": -17097.155079884404, "short": 36500.13371224605, "combined": 19402.97863236163, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 81477.50472257417, "cagr": 0.10726884878493848, "maxDrawdown": -0.14722154311567837 }, "longOnly": { "terminal": 83264.92626246891, "cagr": 0.10871659760592367, "maxDrawdown": -0.19981252621535284 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": -1787.4215398947417, "netShort": -3923.0622208085165, "financingDifference": 2135.6406809138716, "grossPremium": 21674.407304826105, "shortSettlements": 25036.56267787001, "shortFees": 178.7500000000009, "terminalShortLiability": 382.15684776461103, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 22959.062548069545, "longOnlyInterest": 20823.421867155674, "minCash": 13828.606316056477, "minLongOnlyCash": 13785.426791378362, "cycles": 138, "rolls": 13, "theta": { "longOnly": -14662.649477619623, "short": 36558.16190220639, "combined": 21895.512424586796, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 88441.91939524777, "cagr": 0.11275071837910522, "maxDrawdown": -0.13045448773727664 }, "longOnly": { "terminal": 82376.13849393054, "cagr": 0.10800040096651875, "maxDrawdown": -0.20342547036466696 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 6065.780901317223, "netShort": 2418.9211823516634, "financingDifference": 3646.859718965614, "grossPremium": 23942.445603317385, "shortSettlements": 20931.18901526736, "shortFees": 178.7500000000009, "terminalShortLiability": 413.5854056983618, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 24094.017463487384, "longOnlyInterest": 20447.15774452177, "minCash": 13726.184548936057, "minLongOnlyCash": 13678.712195835598, "cycles": 138, "rolls": 13, "theta": { "longOnly": -15249.345933052995, "short": 40185.7638865746, "combined": 24936.417953521788, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 91616.2166939828, "cagr": 0.11511585743973263, "maxDrawdown": -0.12291573908217679 }, "longOnly": { "terminal": 81930.32051530054, "cagr": 0.10763841578867805, "maxDrawdown": -0.20525215112915252 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 9685.896178682262, "netShort": 5331.234397474503, "financingDifference": 4354.661781207822, "grossPremium": 25053.07885700377, "shortSettlements": 19113.840304988546, "shortFees": 178.7500000000009, "terminalShortLiability": 429.2541545407204, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 24615.2047720519, "longOnlyInterest": 20260.54299084408, "minCash": 13675.865157392494, "minLongOnlyCash": 13626.252417499067, "cycles": 138, "rolls": 13, "theta": { "longOnly": -15548.275032147916, "short": 41464.20762106369, "combined": 25915.932588915763, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 96837.83387973749, "cagr": 0.11884383660139375, "maxDrawdown": -0.11452074174240356 }, "longOnly": { "terminal": 81034.45958201188, "cagr": 0.10690538317900944, "maxDrawdown": -0.2089575896284177 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 15803.374297725604, "netShort": 10311.139754883792, "financingDifference": 5492.234542841863, "grossPremium": 27171.851405072513, "shortSettlements": 16221.46850742578, "shortFees": 178.7500000000009, "terminalShortLiability": 460.4931427629424, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 25382.273991067195, "longOnlyInterest": 19890.039448225332, "minCash": 13576.968843319546, "minLongOnlyCash": 13523.08733459559, "cycles": 138, "rolls": 13, "theta": { "longOnly": -16157.161696563053, "short": 43794.88722797255, "combined": 27637.72553140946, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 103207.34686075563, "cagr": 0.12314360857516116, "maxDrawdown": -0.10976082955454336 }, "longOnly": { "terminal": 79676.58980731931, "cagr": 0.1057796639065347, "maxDrawdown": -0.21466986092973195 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 23530.75705343632, "netShort": 16629.411545646803, "financingDifference": 6901.345507789585, "grossPremium": 30345.01494847091, "shortSettlements": 13029.763338908746, "shortFees": 178.7500000000009, "terminalShortLiability": 507.09006391536207, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 26241.6498204183, "longOnlyInterest": 19340.304312628716, "minCash": 13432.862750455795, "minLongOnlyCash": 13372.607951038786, "cycles": 138, "rolls": 13, "theta": { "longOnly": -17097.155079884404, "short": 47449.152068304684, "combined": 30351.996988420324, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 77901.81105792266, "cagr": 0.10428081516968835, "maxDrawdown": -0.14821655093306163 }, "longOnly": { "terminal": 83264.92626246891, "cagr": 0.10871659760592367, "maxDrawdown": -0.19981252621535284 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": -5363.115204546251, "netShort": -7128.7369016795965, "financingDifference": 1765.6216971333997, "grossPremium": 28776.807860786976, "shortSettlements": 35207.358973979055, "shortFees": 178.7500000000009, "terminalShortLiability": 519.435788487516, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 22589.043564289073, "longOnlyInterest": 20823.421867155674, "minCash": 13843.27944272914, "minLongOnlyCash": 13785.426791378362, "cycles": 138, "rolls": 13, "theta": { "longOnly": -14662.649477619623, "short": 41726.29453789268, "combined": 27063.645060273186, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 86652.3337107584, "cagr": 0.11138190521764813, "maxDrawdown": -0.12837693284079432 }, "longOnly": { "terminal": 82376.13849393054, "cagr": 0.10800040096651875, "maxDrawdown": -0.20342547036466696 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 4276.195216827851, "netShort": 560.9348590614635, "financingDifference": 3715.260357766452, "grossPremium": 31727.893706376482, "shortSettlements": 30425.568949889977, "shortFees": 178.7500000000009, "terminalShortLiability": 562.6398974250407, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 24162.418102288222, "longOnlyInterest": 20447.15774452177, "minCash": 13742.288334394694, "minLongOnlyCash": 13678.712195835598, "cycles": 138, "rolls": 13, "theta": { "longOnly": -15249.345933052995, "short": 45912.84626434323, "combined": 30663.500331290386, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 90769.26981136328, "cagr": 0.11449243074141235, "maxDrawdown": -0.11983943568765876 }, "longOnly": { "terminal": 81930.32051530054, "cagr": 0.10763841578867805, "maxDrawdown": -0.20525215112915252 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 8838.94929606274, "netShort": 4222.039928209205, "financingDifference": 4616.909367853597, "grossPremium": 33213.94357368461, "shortSettlements": 28228.981276759652, "shortFees": 178.7500000000009, "terminalShortLiability": 584.1723687157554, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 24877.452358697676, "longOnlyInterest": 20260.54299084408, "minCash": 13692.68182841445, "minLongOnlyCash": 13626.252417499067, "cycles": 138, "rolls": 13, "theta": { "longOnly": -15548.275032147916, "short": 48071.67144232582, "combined": 32523.396410177917, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 98430.64685597878, "cagr": 0.11994345725276512, "maxDrawdown": -0.10476274394689133 }, "longOnly": { "terminal": 81034.45958201188, "cagr": 0.10690538317900944, "maxDrawdown": -0.2089575896284177 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 17396.18727396689, "netShort": 11126.704199230913, "financingDifference": 6269.483074735974, "grossPremium": 36168.94378602006, "shortSettlements": 24236.399684484935, "shortFees": 178.7500000000009, "terminalShortLiability": 627.0899023042148, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 26159.522522961306, "longOnlyInterest": 19890.039448225332, "minCash": 13595.206421340523, "minLongOnlyCash": 13523.08733459559, "cycles": 138, "rolls": 13, "theta": { "longOnly": -16157.161696563053, "short": 52479.66990708589, "combined": 36322.50821052284, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 108310.53935969574, "cagr": 0.12641222101584648, "maxDrawdown": -0.0975520092732346 }, "longOnly": { "terminal": 79676.58980731931, "cagr": 0.1057796639065347, "maxDrawdown": -0.21466986092973195 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 28633.949552376434, "netShort": 20139.94081013855, "financingDifference": 8494.0087422379, "grossPremium": 40417.688851848055, "shortSettlements": 19407.917098646758, "shortFees": 178.7500000000009, "terminalShortLiability": 691.0809430627495, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 27834.313054866616, "longOnlyInterest": 19340.304312628716, "minCash": 13453.219598771308, "minLongOnlyCash": 13372.607951038786, "cycles": 138, "rolls": 13, "theta": { "longOnly": -17097.155079884404, "short": 58196.02489627831, "combined": 41098.869816393955, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 72587.24812632188, "cagr": 0.09959249718325114, "maxDrawdown": -0.1545464127991314 }, "longOnly": { "terminal": 83264.92626246891, "cagr": 0.10871659760592367, "maxDrawdown": -0.19981252621535284 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": -10677.678136147035, "netShort": -11542.364619157788, "financingDifference": 864.6864830108243, "grossPremium": 36462.08595711575, "shortSettlements": 47154.04787155935, "shortFees": 178.7500000000009, "terminalShortLiability": 671.6527047141881, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 21688.108350166498, "longOnlyInterest": 20823.421867155674, "minCash": 13859.377991113402, "minLongOnlyCash": 13785.426791378362, "cycles": 138, "rolls": 13, "theta": { "longOnly": -14662.649477619623, "short": 45033.60362372164, "combined": 30370.95414610202, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 82628.51645896642, "cagr": 0.10820450580779895, "maxDrawdown": -0.12818244895214703 }, "longOnly": { "terminal": 82376.13849393054, "cagr": 0.10800040096651875, "maxDrawdown": -0.20342547036466696 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 252.37796503587742, "netShort": -2889.57125467189, "financingDifference": 3141.949219707767, "grossPremium": 40260.779652801524, "shortSettlements": 42243.54761723432, "shortFees": 178.7500000000009, "terminalShortLiability": 728.0532902390945, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 23589.106964229537, "longOnlyInterest": 20447.15774452177, "minCash": 13759.953897418576, "minLongOnlyCash": 13678.712195835598, "cycles": 138, "rolls": 13, "theta": { "longOnly": -15249.345933052995, "short": 50594.96977937154, "combined": 35345.62384631863, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 87459.94317038597, "cagr": 0.11200288513443746, "maxDrawdown": -0.11800450739871715 }, "longOnly": { "terminal": 81930.32051530054, "cagr": 0.10763841578867805, "maxDrawdown": -0.20525215112915252 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 5529.6226550854335, "netShort": 1271.1315086589852, "financingDifference": 4258.49114642647, "grossPremium": 42118.210462349685, "shortSettlements": 39912.17415702411, "shortFees": 178.7500000000009, "terminalShortLiability": 756.1547966665927, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 24519.034137270548, "longOnlyInterest": 20260.54299084408, "minCash": 13711.1280457945, "minLongOnlyCash": 13626.252417499067, "cycles": 138, "rolls": 13, "theta": { "longOnly": -15548.275032147916, "short": 53395.604913977026, "combined": 37847.32988182918, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 96840.31109331976, "cagr": 0.11884555993936963, "maxDrawdown": -0.10158367084223174 }, "longOnly": { "terminal": 81034.45958201188, "cagr": 0.10690538317900944, "maxDrawdown": -0.2089575896284177 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 15805.851511307876, "netShort": 9417.787114278311, "financingDifference": 6388.064397029571, "grossPremium": 45847.75259729424, "shortSettlements": 35439.06394484795, "shortFees": 178.7500000000009, "terminalShortLiability": 812.1515381679785, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 26278.103845254904, "longOnlyInterest": 19890.039448225332, "minCash": 13615.20827039715, "minLongOnlyCash": 13523.08733459559, "cycles": 138, "rolls": 13, "theta": { "longOnly": -16157.161696563053, "short": 58529.50075477939, "combined": 42372.339058216254, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 109505.75218572824, "cagr": 0.12715681224019626, "maxDrawdown": -0.08848629926995466 }, "longOnly": { "terminal": 79676.58980731931, "cagr": 0.1057796639065347, "maxDrawdown": -0.21466986092973195 }, "stock": { "terminal": 137683.95825641512, "cagr": 0.1428053717233806, "maxDrawdown": -0.3371726769000345 }, "contribution": 29829.16237840893, "netShort": 20570.201768756207, "financingDifference": 9258.960609652735, "grossPremium": 51377.102067383494, "shortSettlements": 29732.536736880094, "shortFees": 178.7500000000009, "terminalShortLiability": 895.6135617471915, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 28599.26492228145, "longOnlyInterest": 19340.304312628716, "minCash": 13475.540788812463, "minLongOnlyCash": 13372.607951038786, "cycles": 138, "rolls": 13, "theta": { "longOnly": -17097.155079884404, "short": 66022.56892634936, "combined": 48925.41384646483, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 50758.89518639878, "cagr": 0.11066954098892201, "maxDrawdown": -0.16573660845048444 }, "longOnly": { "terminal": 46703.536689377266, "cagr": 0.10273500867243057, "maxDrawdown": -0.18055533980877037 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 4055.358497021516, "netShort": 3393.753512726589, "financingDifference": 661.6049842950852, "grossPremium": 10447.577155487934, "shortSettlements": 6728.792315974104, "shortFees": 263.2500000000013, "terminalShortLiability": 61.781326787239266, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 10909.72267182933, "longOnlyInterest": 10248.117687534244, "minCash": 13444.424763565097, "minLongOnlyCash": 13416.825336319642, "cycles": 203, "rolls": 9, "theta": { "longOnly": -6573.752540854933, "short": 17439.822338627924, "combined": 10866.069797773001, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 53319.66018118139, "cagr": 0.11538638059043715, "maxDrawdown": -0.1530952758749271 }, "longOnly": { "terminal": 46276.81776257446, "cagr": 0.10186383875237914, "maxDrawdown": -0.18333116961612217 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 7042.8424186069315, "netShort": 5866.9093015135495, "financingDifference": 1175.9331170935566, "grossPremium": 11580.289657265193, "shortSettlements": 5386.03329663425, "shortFees": 263.2500000000013, "terminalShortLiability": 64.09705911739252, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 11270.610753607969, "longOnlyInterest": 10094.677636514412, "minCash": 13314.168282945002, "minLongOnlyCash": 13283.7945283879, "cycles": 203, "rolls": 9, "theta": { "longOnly": -6817.100313593928, "short": 18690.91708699256, "combined": 11873.816773398652, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 54478.38701246438, "cagr": 0.11745301577969203, "maxDrawdown": -0.14737388810572682 }, "longOnly": { "terminal": 46061.535618307615, "cagr": 0.10142153871264803, "maxDrawdown": -0.18473394928790732 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 8416.851394156765, "netShort": 7007.491533654136, "financingDifference": 1409.3598605028474, "grossPremium": 12122.845085935905, "shortSettlements": 4786.802263478441, "shortFees": 263.2500000000013, "terminalShortLiability": 65.3012888033274, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 11428.141621420198, "longOnlyInterest": 10018.78176091735, "minCash": 13250.521200019142, "minLongOnlyCash": 13218.763674917587, "cycles": 203, "rolls": 9, "theta": { "longOnly": -6941.681890057287, "short": 19260.318228989898, "combined": 12318.636338932618, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 56613.74931387468, "cagr": 0.12115845450328888, "maxDrawdown": -0.13682192210124267 }, "longOnly": { "terminal": 45626.77418718207, "cagr": 0.10052252541344031, "maxDrawdown": -0.18757602195967482 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 10986.97512669261, "netShort": 9147.331046924684, "financingDifference": 1839.6440797681353, "grossPremium": 13181.781385935585, "shortSettlements": 3703.421600677983, "shortFees": 263.2500000000013, "terminalShortLiability": 67.77873833291608, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 11708.165188045778, "longOnlyInterest": 9868.521108277642, "minCash": 13126.100213093507, "minLongOnlyCash": 13091.581908355147, "cycles": 203, "rolls": 9, "theta": { "longOnly": -7196.589211288016, "short": 20240.05948535716, "combined": 13043.470274069163, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 59509.423879191854, "cagr": 0.12598426703694265, "maxDrawdown": -0.1222728268158576 }, "longOnly": { "terminal": 44963.044253836284, "cagr": 0.09913482945237351, "maxDrawdown": -0.1919427035077449 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 14546.37962535557, "netShort": 12113.293044487891, "financingDifference": 2433.0865808678755, "grossPremium": 14747.442125919182, "shortSettlements": 2299.280931342258, "shortFees": 263.2500000000013, "terminalShortLiability": 71.61815008903005, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 12079.710540163736, "longOnlyInterest": 9646.623959295861, "minCash": 12946.39522446492, "minLongOnlyCash": 12907.752579986358, "cycles": 203, "rolls": 9, "theta": { "longOnly": -7592.89679977969, "short": 21761.53388003939, "combined": 14168.637080259683, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 51807.456532401695, "cagr": 0.11262667626116296, "maxDrawdown": -0.15975376531820995 }, "longOnly": { "terminal": 46703.536689377266, "cagr": 0.10273500867243057, "maxDrawdown": -0.18055533980877037 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 5103.919843024429, "netShort": 4251.233574508085, "financingDifference": 852.6862685165142, "grossPremium": 14872.392822853413, "shortSettlements": 10255.060651536814, "shortFees": 263.2500000000013, "terminalShortLiability": 102.84859680851213, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 11100.803956050759, "longOnlyInterest": 10248.117687534244, "minCash": 13456.72672669653, "minLongOnlyCash": 13416.825336319642, "cycles": 203, "rolls": 9, "theta": { "longOnly": -6573.752540854933, "short": 22070.360648764836, "combined": 15496.60810790991, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 55586.75479139309, "cagr": 0.11939258031207722, "maxDrawdown": -0.14101389927472796 }, "longOnly": { "terminal": 46276.81776257446, "cagr": 0.10186383875237914, "maxDrawdown": -0.18333116961612217 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 9309.937028818633, "netShort": 7762.033969273952, "financingDifference": 1547.903059544813, "grossPremium": 16474.162990209243, "shortSettlements": 8341.590394755454, "shortFees": 263.2500000000013, "terminalShortLiability": 107.28862617983594, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 11642.580696059225, "longOnlyInterest": 10094.677636514412, "minCash": 13327.673922015429, "minLongOnlyCash": 13283.7945283879, "cycles": 203, "rolls": 9, "theta": { "longOnly": -6817.100313593928, "short": 23922.810418652454, "combined": 17105.710105058526, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 57191.074728110885, "cagr": 0.12213832796570712, "maxDrawdown": -0.1336841521784886 }, "longOnly": { "terminal": 46061.535618307615, "cagr": 0.10142153871264803, "maxDrawdown": -0.18473394928790732 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 11129.53910980327, "netShort": 9267.076093769629, "financingDifference": 1862.4630160338165, "grossPremium": 17269.99979176897, "shortSettlements": 7630.107344605105, "shortFees": 263.2500000000013, "terminalShortLiability": 109.56635339423428, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 11881.244776951167, "longOnlyInterest": 10018.78176091735, "minCash": 13264.62690385564, "minLongOnlyCash": 13218.763674917587, "cycles": 203, "rolls": 9, "theta": { "longOnly": -6941.681890057287, "short": 24863.57189287265, "combined": 17921.89000281537, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 60168.4188420474, "cagr": 0.127052486622925, "maxDrawdown": -0.12131489639666193 }, "longOnly": { "terminal": 45626.77418718207, "cagr": 0.10052252541344031, "maxDrawdown": -0.18757602195967482 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 14541.644654865333, "netShort": 12083.056411073083, "financingDifference": 2458.58824379243, "grossPremium": 18865.838328167207, "shortSettlements": 6405.325195175792, "shortFees": 263.2500000000013, "terminalShortLiability": 114.20672191833035, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 12327.109352070072, "longOnlyInterest": 9868.521108277642, "minCash": 13141.402514989066, "minLongOnlyCash": 13091.581908355147, "cycles": 203, "rolls": 9, "theta": { "longOnly": -7196.589211288016, "short": 26757.52138790593, "combined": 19560.932176617876, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 64123.07292429254, "cagr": 0.13324687104051924, "maxDrawdown": -0.10905403924599721 }, "longOnly": { "terminal": 44963.044253836284, "cagr": 0.09913482945237351, "maxDrawdown": -0.1919427035077449 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 19160.028670456253, "netShort": 15917.715070148502, "financingDifference": 3242.313600307927, "grossPremium": 21123.325827148743, "shortSettlements": 4821.0449393859535, "shortFees": 263.2500000000013, "terminalShortLiability": 121.31581761428691, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 12888.937559603788, "longOnlyInterest": 9646.623959295861, "minCash": 12963.483639299136, "minLongOnlyCash": 12907.752579986358, "cycles": 203, "rolls": 9, "theta": { "longOnly": -7592.89679977969, "short": 29147.432621647728, "combined": 21554.535821868067, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 51765.67677010383, "cagr": 0.11254938990822527, "maxDrawdown": -0.15585208867045086 }, "longOnly": { "terminal": 46703.536689377266, "cagr": 0.10273500867243057, "maxDrawdown": -0.18055533980877037 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 5062.140080726567, "netShort": 4165.247724416657, "financingDifference": 896.8923563100616, "grossPremium": 19721.246658540185, "shortSettlements": 15139.819707897248, "shortFees": 263.2500000000013, "terminalShortLiability": 152.92922622627998, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 11145.010043844306, "longOnlyInterest": 10248.117687534244, "minCash": 13470.304798923753, "minLongOnlyCash": 13416.825336319642, "cycles": 203, "rolls": 9, "theta": { "longOnly": -6573.752540854933, "short": 25693.573750593972, "combined": 19119.821209739028, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 56546.90724833373, "cagr": 0.12104441668021515, "maxDrawdown": -0.13498985918050455 }, "longOnly": { "terminal": 46276.81776257446, "cagr": 0.10186383875237914, "maxDrawdown": -0.18333116961612217 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 10270.089485759272, "netShort": 8508.686666666443, "financingDifference": 1761.4028190929675, "grossPremium": 21827.109780941548, "shortSettlements": 12894.926854279222, "shortFees": 263.2500000000013, "terminalShortLiability": 160.24625999588125, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 11856.08045560738, "longOnlyInterest": 10094.677636514412, "minCash": 13342.578422881554, "minLongOnlyCash": 13283.7945283879, "cycles": 203, "rolls": 9, "theta": { "longOnly": -6817.100313593928, "short": 28566.73720256837, "combined": 21749.636888974434, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 58857.901842762, "cagr": 0.12491748000950031, "maxDrawdown": -0.12554696679390542 }, "longOnly": { "terminal": 46061.535618307615, "cagr": 0.10142153871264803, "maxDrawdown": -0.18473394928790732 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 12796.366224454388, "netShort": 10614.109933324362, "financingDifference": 2182.256291130161, "grossPremium": 22881.446791205617, "shortSettlements": 11840.117704282047, "shortFees": 263.2500000000013, "terminalShortLiability": 163.9691535992057, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 12201.038052047512, "longOnlyInterest": 10018.78176091735, "minCash": 13280.192523380405, "minLongOnlyCash": 13218.763674917587, "cycles": 203, "rolls": 9, "theta": { "longOnly": -6941.681890057287, "short": 29936.011726645225, "combined": 22994.32983658793, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 63172.71936187756, "cagr": 0.1317908281676079, "maxDrawdown": -0.11099426660953993 }, "longOnly": { "terminal": 45626.77418718207, "cagr": 0.10052252541344031, "maxDrawdown": -0.18757602195967482 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 17545.945174695487, "netShort": 14567.93968559579, "financingDifference": 2978.005489099927, "grossPremium": 24996.63562022206, "shortSettlements": 9993.937944863303, "shortFees": 263.2500000000013, "terminalShortLiability": 171.50798976296642, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 12846.52659737757, "longOnlyInterest": 9868.521108277642, "minCash": 13158.286199173435, "minLongOnlyCash": 13091.581908355147, "cycles": 203, "rolls": 9, "theta": { "longOnly": -7196.589211288016, "short": 32488.92009722226, "combined": 25292.33088593418, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 68748.52950166419, "cagr": 0.14006358337928337, "maxDrawdown": -0.09958982233615643 }, "longOnly": { "terminal": 44963.044253836284, "cagr": 0.09913482945237351, "maxDrawdown": -0.1919427035077449 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 23785.485247827906, "netShort": 19765.275865034982, "financingDifference": 4020.2093827931203, "grossPremium": 28123.657069622386, "shortSettlements": 7912.157383368973, "shortFees": 263.2500000000013, "terminalShortLiability": 182.973821218431, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 13666.833342088981, "longOnlyInterest": 9646.623959295861, "minCash": 12982.334044468245, "minLongOnlyCash": 12907.752579986358, "cycles": 203, "rolls": 9, "theta": { "longOnly": -7592.89679977969, "short": 36102.994738404945, "combined": 28510.09793862523, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 50950.5981018821, "cagr": 0.1110300969185567, "maxDrawdown": -0.15447923565489396 }, "longOnly": { "terminal": 46703.536689377266, "cagr": 0.10273500867243057, "maxDrawdown": -0.18055533980877037 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 4247.0614125048305, "netShort": 3417.351043207682, "financingDifference": 829.7103692972905, "grossPremium": 24982.285348348218, "shortSettlements": 21089.85596706521, "shortFees": 263.2500000000013, "terminalShortLiability": 211.82833807532404, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 11077.828056831535, "longOnlyInterest": 10248.117687534244, "minCash": 13485.202668247926, "minLongOnlyCash": 13416.825336319642, "cycles": 203, "rolls": 9, "theta": { "longOnly": -6573.752540854933, "short": 28411.493508560998, "combined": 21837.74096770604, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 56663.69179591008, "cagr": 0.12124358001964564, "maxDrawdown": -0.12982488519486535 }, "longOnly": { "terminal": 46276.81776257446, "cagr": 0.10186383875237914, "maxDrawdown": -0.18333116961612217 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 10386.874033335625, "netShort": 8542.363667422063, "financingDifference": 1844.5103659137021, "grossPremium": 27670.401544671502, "shortSettlements": 18641.973541077303, "shortFees": 263.2500000000013, "terminalShortLiability": 222.81433617213366, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 11939.188002428114, "longOnlyInterest": 10094.677636514412, "minCash": 13358.929402301, "minLongOnlyCash": 13283.7945283879, "cycles": 203, "rolls": 9, "theta": { "longOnly": -6817.100313593928, "short": 31918.804291981884, "combined": 25101.70397838789, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 59333.74882875206, "cagr": 0.12569767589106617, "maxDrawdown": -0.11911087185530156 }, "longOnly": { "terminal": 46061.535618307615, "cagr": 0.10142153871264803, "maxDrawdown": -0.18473394928790732 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 13272.213210444446, "netShort": 10954.958259166793, "financingDifference": 2317.254951277753, "grossPremium": 29004.746001406857, "shortSettlements": 17558.164383647134, "shortFees": 263.2500000000013, "terminalShortLiability": 228.37335859292835, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 12336.036712195104, "longOnlyInterest": 10018.78176091735, "minCash": 13297.267610970746, "minLongOnlyCash": 13218.763674917587, "cycles": 203, "rolls": 9, "theta": { "longOnly": -6941.681890057287, "short": 33661.29247235872, "combined": 26719.61058230147, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 64551.035859799675, "cagr": 0.13389612566586084, "maxDrawdown": -0.10275398001302471 }, "longOnly": { "terminal": 45626.77418718207, "cagr": 0.10052252541344031, "maxDrawdown": -0.18757602195967482 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 18924.261672617606, "netShort": 15659.122205991032, "financingDifference": 3265.1394666267242, "grossPremium": 31657.71768154568, "shortSettlements": 15495.761298721414, "shortFees": 263.2500000000013, "terminalShortLiability": 239.58417683323177, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 13133.660574904367, "longOnlyInterest": 9868.521108277642, "minCash": 13176.804632270218, "minLongOnlyCash": 13091.581908355147, "cycles": 203, "rolls": 9, "theta": { "longOnly": -7196.589211288016, "short": 37066.80780449903, "combined": 29870.21859321107, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 71868.60364881935, "cagr": 0.14442880914867318, "maxDrawdown": -0.0925835761567878 }, "longOnly": { "terminal": 44963.044253836284, "cagr": 0.09913482945237351, "maxDrawdown": -0.1919427035077449 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 26905.559394983065, "netShort": 22301.55499239029, "financingDifference": 4604.004402592969, "grossPremium": 35640.34765054553, "shortSettlements": 12818.99330648942, "shortFees": 263.2500000000013, "terminalShortLiability": 256.54935166581936, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 14250.62836188883, "longOnlyInterest": 9646.623959295861, "minCash": 13003.005387039178, "minLongOnlyCash": 12907.752579986358, "cycles": 203, "rolls": 9, "theta": { "longOnly": -7592.89679977969, "short": 42121.931147790936, "combined": 34529.034348011264, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 49184.58072886846, "cagr": 0.10766056705325155, "maxDrawdown": -0.14425229956015095 }, "longOnly": { "terminal": 46703.536689377266, "cagr": 0.10273500867243057, "maxDrawdown": -0.18055533980877037 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 2481.044039491193, "netShort": 2032.0860615369106, "financingDifference": 448.95797795442013, "grossPremium": 8960.791930753165, "shortSettlements": 6292.141489502479, "shortFees": 196.95000000000107, "terminalShortLiability": 439.6143797137739, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 10697.075665488665, "longOnlyInterest": 10248.117687534244, "minCash": 13448.714769130193, "minLongOnlyCash": 13416.825336319642, "cycles": 152, "rolls": 9, "theta": { "longOnly": -6573.752540854933, "short": 16117.173471965414, "combined": 9543.420931110468, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 51756.98759293352, "cagr": 0.11253330906085424, "maxDrawdown": -0.1368752494723633 }, "longOnly": { "terminal": 46276.81776257446, "cagr": 0.10186383875237914, "maxDrawdown": -0.18333116961612217 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 5480.16983035906, "netShort": 4549.281736435668, "financingDifference": 930.8880939235169, "grossPremium": 9921.679141778613, "shortSettlements": 4760.6379264878715, "shortFees": 196.95000000000107, "terminalShortLiability": 414.8094788550736, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 11025.56573043793, "longOnlyInterest": 10094.677636514412, "minCash": 13318.870729463533, "minLongOnlyCash": 13283.7945283879, "cycles": 152, "rolls": 9, "theta": { "longOnly": -6817.100313593928, "short": 17176.904890916572, "combined": 10359.804577322615, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 52808.5156331992, "cagr": 0.11446165858071855, "maxDrawdown": -0.13372199166718424 }, "longOnly": { "terminal": 46061.535618307615, "cagr": 0.10142153871264803, "maxDrawdown": -0.18473394928790732 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 6746.980014891582, "netShort": 5613.418919000813, "financingDifference": 1133.5610958909201, "grossPremium": 10397.9707293004, "shortSettlements": 4183.012242114419, "shortFees": 196.95000000000107, "terminalShortLiability": 404.58956818516754, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 11152.34285680827, "longOnlyInterest": 10018.78176091735, "minCash": 13255.428768630445, "minLongOnlyCash": 13218.763674917587, "cycles": 152, "rolls": 9, "theta": { "longOnly": -6941.681890057287, "short": 17721.661162511748, "combined": 10779.979272454459, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 54563.63693409583, "cagr": 0.1176034713379337, "maxDrawdown": -0.1283728949805777 }, "longOnly": { "terminal": 45626.77418718207, "cagr": 0.10052252541344031, "maxDrawdown": -0.18757602195967482 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 8936.862746913765, "netShort": 7460.584672562482, "financingDifference": 1476.2780743514613, "grossPremium": 11310.90126545259, "shortSettlements": 3265.769594356503, "shortFees": 196.95000000000107, "terminalShortLiability": 387.59699853360416, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 11344.799182629104, "longOnlyInterest": 9868.521108277642, "minCash": 13131.415842140803, "minLongOnlyCash": 13091.581908355147, "cycles": 152, "rolls": 9, "theta": { "longOnly": -7196.589211288016, "short": 18521.34458421476, "combined": 11324.755372926744, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 56640.658173068754, "cagr": 0.12120432839859441, "maxDrawdown": -0.12548488070315456 }, "longOnly": { "terminal": 44963.044253836284, "cagr": 0.09913482945237351, "maxDrawdown": -0.1919427035077449 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 11677.61391923247, "netShort": 9753.415381230056, "financingDifference": 1924.198538002589, "grossPremium": 12630.274784835132, "shortSettlements": 2311.1680144861866, "shortFees": 196.95000000000107, "terminalShortLiability": 368.74138911888963, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 11570.82249729845, "longOnlyInterest": 9646.623959295861, "minCash": 12952.31752354672, "minLongOnlyCash": 12907.752579986358, "cycles": 152, "rolls": 9, "theta": { "longOnly": -7592.89679977969, "short": 19558.110881586224, "combined": 11965.214081806556, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 49043.99010426376, "cagr": 0.10738759287772082, "maxDrawdown": -0.13044333340757774 }, "longOnly": { "terminal": 46703.536689377266, "cagr": 0.10273500867243057, "maxDrawdown": -0.18055533980877037 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 2340.4534148864914, "netShort": 1826.0768756877228, "financingDifference": 514.3765391989127, "grossPremium": 12759.090257816399, "shortSettlements": 10151.067095369044, "shortFees": 196.95000000000107, "terminalShortLiability": 584.9962867596304, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 10762.494226733157, "longOnlyInterest": 10248.117687534244, "minCash": 13462.87809796338, "minLongOnlyCash": 13416.825336319642, "cycles": 152, "rolls": 9, "theta": { "longOnly": -6573.752540854933, "short": 20289.30601132333, "combined": 13715.553470468369, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 52507.8829319963, "cagr": 0.11391395024946838, "maxDrawdown": -0.12105375029649146 }, "longOnly": { "terminal": 46276.81776257446, "cagr": 0.10186383875237914, "maxDrawdown": -0.18333116961612217 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 6231.0651694218395, "netShort": 5102.705098993449, "financingDifference": 1128.3600704285145, "grossPremium": 14116.961721309719, "shortSettlements": 8256.437136992281, "shortFees": 196.95000000000107, "terminalShortLiability": 560.8694853239882, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 11223.037706942927, "longOnlyInterest": 10094.677636514412, "minCash": 13334.415218197975, "minLongOnlyCash": 13283.7945283879, "cycles": 152, "rolls": 9, "theta": { "longOnly": -6817.100313593928, "short": 21991.846616320785, "combined": 15174.74630272689, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 54159.652387324, "cagr": 0.11688857589726376, "maxDrawdown": -0.11672977168299603 }, "longOnly": { "terminal": 46061.535618307615, "cagr": 0.10142153871264803, "maxDrawdown": -0.18473394928790732 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 8098.116769016386, "netShort": 6670.955260275309, "financingDifference": 1427.1615087412174, "grossPremium": 14796.474347846392, "shortSettlements": 7377.6041931876725, "shortFees": 196.95000000000107, "terminalShortLiability": 550.9648943834094, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 11445.943269658568, "longOnlyInterest": 10018.78176091735, "minCash": 13271.661492655345, "minLongOnlyCash": 13218.763674917587, "cycles": 152, "rolls": 9, "theta": { "longOnly": -6941.681890057287, "short": 22765.507109237235, "combined": 15823.825219179964, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 57170.320362256076, "cagr": 0.12210325930384736, "maxDrawdown": -0.10887001829765597 }, "longOnly": { "terminal": 45626.77418718207, "cagr": 0.10052252541344031, "maxDrawdown": -0.18757602195967482 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 11543.546175074007, "netShort": 9549.82176030902, "financingDifference": 1993.7244147651782, "grossPremium": 16140.685655828443, "shortSettlements": 5859.279964729837, "shortFees": 196.95000000000107, "terminalShortLiability": 534.6339307895875, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 11862.24552304282, "longOnlyInterest": 9868.521108277642, "minCash": 13149.020370183644, "minLongOnlyCash": 13091.581908355147, "cycles": 152, "rolls": 9, "theta": { "longOnly": -7196.589211288016, "short": 24358.394163051198, "combined": 17161.804951763144, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 60867.8649811157, "cagr": 0.128174642898236, "maxDrawdown": -0.11363672748725673 }, "longOnly": { "terminal": 44963.044253836284, "cagr": 0.09913482945237351, "maxDrawdown": -0.1919427035077449 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 15904.820727279417, "netShort": 13201.952619490954, "financingDifference": 2702.8681077885813, "grossPremium": 18108.73403676769, "shortSettlements": 4192.867497050424, "shortFees": 196.95000000000107, "terminalShortLiability": 516.9639202263113, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 12349.492067084442, "longOnlyInterest": 9646.623959295861, "minCash": 12971.968159009384, "minLongOnlyCash": 12907.752579986358, "cycles": 152, "rolls": 9, "theta": { "longOnly": -7592.89679977969, "short": 26535.703446294938, "combined": 18942.806646515277, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 48732.434927953975, "cagr": 0.10678011236841312, "maxDrawdown": -0.11596647306744368 }, "longOnly": { "terminal": 46703.536689377266, "cagr": 0.10273500867243057, "maxDrawdown": -0.18055533980877037 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 2028.8982385767085, "netShort": 1458.9929248423537, "financingDifference": 569.9053137344981, "grossPremium": 16935.591209374033, "shortSettlements": 14550.466286739804, "shortFees": 196.95000000000107, "terminalShortLiability": 729.1819977918749, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 10818.023001268743, "longOnlyInterest": 10248.117687534244, "minCash": 13471.693210680362, "minLongOnlyCash": 13416.825336319642, "cycles": 152, "rolls": 9, "theta": { "longOnly": -6573.752540854933, "short": 23353.07259501366, "combined": 16779.320054158718, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 53033.99330900002, "cagr": 0.11487057865611483, "maxDrawdown": -0.10387491593360576 }, "longOnly": { "terminal": 46276.81776257446, "cagr": 0.10186383875237914, "maxDrawdown": -0.18333116961612217 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 6757.175546425562, "netShort": 5437.435191038823, "financingDifference": 1319.7403553868662, "grossPremium": 18715.124381458238, "shortSettlements": 12372.722505508696, "shortFees": 196.95000000000107, "terminalShortLiability": 708.0166849107172, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 11414.417991901279, "longOnlyInterest": 10094.677636514412, "minCash": 13351.565914599776, "minLongOnlyCash": 13283.7945283879, "cycles": 152, "rolls": 9, "theta": { "longOnly": -6817.100313593928, "short": 26041.339296458365, "combined": 19224.23898286446, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 54972.479158441805, "cagr": 0.1183220549376296, "maxDrawdown": -0.10038288612718171 }, "longOnly": { "terminal": 46061.535618307615, "cagr": 0.10142153871264803, "maxDrawdown": -0.18473394928790732 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 8910.94354013419, "netShort": 7242.56213711921, "financingDifference": 1668.3814030150934, "grossPremium": 19614.801055167907, "shortSettlements": 11475.818704489559, "shortFees": 196.95000000000107, "terminalShortLiability": 699.4702135591382, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 11687.163163932444, "longOnlyInterest": 10018.78176091735, "minCash": 13289.57008537781, "minLongOnlyCash": 13218.763674917587, "cycles": 152, "rolls": 9, "theta": { "longOnly": -6941.681890057287, "short": 27303.34415423443, "combined": 20361.662264177114, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 58572.53043403387, "cagr": 0.12444681706647431, "maxDrawdown": -0.10286630865471391 }, "longOnly": { "terminal": 45626.77418718207, "cagr": 0.10052252541344031, "maxDrawdown": -0.18757602195967482 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 12945.7562468518, "netShort": 10626.496769351856, "financingDifference": 2319.2594775000853, "grossPremium": 21393.27915582552, "shortSettlements": 9884.113353280021, "shortFees": 196.95000000000107, "terminalShortLiability": 685.7190331936408, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 12187.780585777728, "longOnlyInterest": 9868.521108277642, "minCash": 13168.439244465835, "minLongOnlyCash": 13091.581908355147, "cycles": 152, "rolls": 9, "theta": { "longOnly": -7196.589211288016, "short": 29552.004584894396, "combined": 22355.415373606367, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 63830.635574006934, "cagr": 0.13280093831802398, "maxDrawdown": -0.10535494599447837 }, "longOnly": { "terminal": 44963.044253836284, "cagr": 0.09913482945237351, "maxDrawdown": -0.1919427035077449 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 18867.59132017065, "netShort": 15595.309347949133, "financingDifference": 3272.2819722216227, "grossPremium": 24038.12722925869, "shortSettlements": 7574.1043870243675, "shortFees": 196.95000000000107, "terminalShortLiability": 671.7634942851902, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 12918.905931517484, "longOnlyInterest": 9646.623959295861, "minCash": 12993.63876259273, "minLongOnlyCash": 12907.752579986358, "cycles": 152, "rolls": 9, "theta": { "longOnly": -7592.89679977969, "short": 32698.38329903982, "combined": 25105.486499260092, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 47540.40127860859, "cagr": 0.10442259501973439, "maxDrawdown": -0.10885924317787066 }, "longOnly": { "terminal": 46703.536689377266, "cagr": 0.10273500867243057, "maxDrawdown": -0.18055533980877037 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 836.8645892313216, "netShort": 382.18078777831875, "financingDifference": 454.6838014531295, "grossPremium": 21483.516688686497, "shortSettlements": 20031.567913001534, "shortFees": 196.95000000000107, "terminalShortLiability": 872.8179879066431, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 10702.801488987374, "longOnlyInterest": 10248.117687534244, "minCash": 13449.856235742302, "minLongOnlyCash": 13416.825336319642, "cycles": 152, "rolls": 9, "theta": { "longOnly": -6573.752540854933, "short": 25534.109852285183, "combined": 18960.35731143031, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 52521.94916521349, "cagr": 0.11393964067821027, "maxDrawdown": -0.09646307956095745 }, "longOnly": { "terminal": 46276.81776257446, "cagr": 0.10186383875237914, "maxDrawdown": -0.18333116961612217 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 6245.131402639032, "netShort": 4901.399377122578, "financingDifference": 1343.7320255165723, "grossPremium": 23738.440879796923, "shortSettlements": 17783.63329197638, "shortFees": 196.95000000000107, "terminalShortLiability": 856.4582106979628, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 11438.409662030985, "longOnlyInterest": 10094.677636514412, "minCash": 13363.867757573396, "minLongOnlyCash": 13283.7945283879, "cycles": 152, "rolls": 9, "theta": { "longOnly": -6817.100313593928, "short": 28824.449136254978, "combined": 22007.348822661, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 54877.216788460435, "cagr": 0.1181550587143192, "maxDrawdown": -0.09691792551783962 }, "longOnly": { "terminal": 46061.535618307615, "cagr": 0.10142153871264803, "maxDrawdown": -0.18473394928790732 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 8815.68117015282, "netShort": 7050.888801563556, "financingDifference": 1764.7923685893238, "grossPremium": 24859.196978938093, "shortSettlements": 16761.220844286, "shortFees": 196.95000000000107, "terminalShortLiability": 850.1373330885372, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 11783.574129506675, "longOnlyInterest": 10018.78176091735, "minCash": 13309.210925288728, "minLongOnlyCash": 13218.763674917587, "cycles": 152, "rolls": 9, "theta": { "longOnly": -6941.681890057287, "short": 30413.203389372145, "combined": 23471.52149931498, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 59518.426323074564, "cagr": 0.1259989325256754, "maxDrawdown": -0.098143565472676 }, "longOnly": { "terminal": 45626.77418718207, "cagr": 0.10052252541344031, "maxDrawdown": -0.18757602195967482 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 13891.652135892495, "netShort": 11293.485011058308, "financingDifference": 2598.1671248342973, "grossPremium": 27117.226177077442, "shortSettlements": 14786.198155136053, "shortFees": 196.95000000000107, "terminalShortLiability": 840.5930108830802, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 12466.68823311194, "longOnlyInterest": 9868.521108277642, "minCash": 13189.733094581607, "minLongOnlyCash": 13091.581908355147, "cycles": 152, "rolls": 9, "theta": { "longOnly": -7196.589211288016, "short": 33515.1353526236, "combined": 26318.546141335602, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 65966.14752132302, "cagr": 0.13601530828102137, "maxDrawdown": -0.10105354892246288 }, "longOnly": { "terminal": 44963.044253836284, "cagr": 0.09913482945237351, "maxDrawdown": -0.1919427035077449 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 21003.10326748673, "netShort": 17252.772308416002, "financingDifference": 3750.330959070827, "grossPremium": 30472.150077669365, "shortSettlements": 12189.879008710246, "shortFees": 196.95000000000107, "terminalShortLiability": 832.5487605431164, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 13396.954918366688, "longOnlyInterest": 9646.623959295861, "minCash": 13017.396156476765, "minLongOnlyCash": 12907.752579986358, "cycles": 152, "rolls": 9, "theta": { "longOnly": -7592.89679977969, "short": 38046.80732635846, "combined": 30453.910526578777, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 50610.41551613107, "cagr": 0.11038942334936275, "maxDrawdown": -0.1435893272312755 }, "longOnly": { "terminal": 46703.536689377266, "cagr": 0.10273500867243057, "maxDrawdown": -0.18055533980877037 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 3906.878826753804, "netShort": 3334.2261759366443, "financingDifference": 572.6526508172574, "grossPremium": 7148.4597773386595, "shortSettlements": 3664.697285681078, "shortFees": 124.15000000000043, "terminalShortLiability": 25.386315720936636, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 10820.770338351502, "longOnlyInterest": 10248.117687534244, "minCash": 13455.864802255315, "minLongOnlyCash": 13416.825336319642, "cycles": 96, "rolls": 9, "theta": { "longOnly": -6573.752540854933, "short": 12574.309946200434, "combined": 6000.557405345487, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 52496.47677393282, "cagr": 0.11389311353726228, "maxDrawdown": -0.13916793917662273 }, "longOnly": { "terminal": 46276.81776257446, "cagr": 0.10186383875237914, "maxDrawdown": -0.18333116961612217 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 6219.659011358366, "netShort": 5284.099902192712, "financingDifference": 935.559109165717, "grossPremium": 7863.973501024282, "shortSettlements": 2433.7341461905107, "shortFees": 124.15000000000043, "terminalShortLiability": 21.98945264105916, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 11030.23674568013, "longOnlyInterest": 10094.677636514412, "minCash": 13326.702953842541, "minLongOnlyCash": 13283.7945283879, "cycles": 96, "rolls": 9, "theta": { "longOnly": -6817.100313593928, "short": 13376.290432382142, "combined": 6559.190118788241, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 53372.26513809334, "cagr": 0.11548108898677723, "maxDrawdown": -0.137070860920966 }, "longOnly": { "terminal": 46061.535618307615, "cagr": 0.10142153871264803, "maxDrawdown": -0.18473394928790732 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 7310.729519785724, "netShort": 6203.495062130156, "financingDifference": 1107.2344576556588, "grossPremium": 8223.141713617008, "shortSettlements": 1874.8483523087573, "shortFees": 124.15000000000043, "terminalShortLiability": 20.648299178093765, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 11126.01621857301, "longOnlyInterest": 10018.78176091735, "minCash": 13263.599923861953, "minLongOnlyCash": 13218.763674917587, "cycles": 96, "rolls": 9, "theta": { "longOnly": -6941.681890057287, "short": 13760.002488967473, "combined": 6818.32059891019, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 54945.04531730381, "cagr": 0.11827399017491635, "maxDrawdown": -0.1330470120564642 }, "longOnly": { "terminal": 45626.77418718207, "cagr": 0.10052252541344031, "maxDrawdown": -0.18757602195967482 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 9318.271130121742, "netShort": 7884.346761772066, "financingDifference": 1433.9243683497807, "grossPremium": 8928.205380669613, "shortSettlements": 901.2336621126991, "shortFees": 124.15000000000043, "terminalShortLiability": 18.474956784847407, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 11302.445476627423, "longOnlyInterest": 9868.521108277642, "minCash": 13140.260560108482, "minLongOnlyCash": 13091.581908355147, "cycles": 96, "rolls": 9, "theta": { "longOnly": -7196.589211288016, "short": 14290.853101139337, "combined": 7094.263889851314, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 56098.262192196, "cagr": 0.12027578893018309, "maxDrawdown": -0.1286887125363514 }, "longOnly": { "terminal": 44963.044253836284, "cagr": 0.09913482945237351, "maxDrawdown": -0.1919427035077449 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 11135.217938359718, "netShort": 9346.956268129697, "financingDifference": 1788.2616702301148, "grossPremium": 9954.543891022415, "shortSettlements": 467.3343073766162, "shortFees": 124.15000000000043, "terminalShortLiability": 16.103315516102512, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 11434.885629525976, "longOnlyInterest": 9646.623959295861, "minCash": 12962.161929093907, "minLongOnlyCash": 12907.752579986358, "cycles": 96, "rolls": 9, "theta": { "longOnly": -7592.89679977969, "short": 14982.117842075737, "combined": 7389.22104229603, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 50262.60415029569, "cagr": 0.1097303004321657, "maxDrawdown": -0.13021761286596256 }, "longOnly": { "terminal": 46703.536689377266, "cagr": 0.10273500867243057, "maxDrawdown": -0.18055533980877037 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 3559.0674609184207, "netShort": 2952.9784181411337, "financingDifference": 606.0890427773811, "grossPremium": 10168.674314986552, "shortSettlements": 7022.775442702118, "shortFees": 124.15000000000043, "terminalShortLiability": 68.77045414329999, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 10854.206730311626, "longOnlyInterest": 10248.117687534244, "minCash": 13473.126557702446, "minLongOnlyCash": 13416.825336319642, "cycles": 96, "rolls": 9, "theta": { "longOnly": -6573.752540854933, "short": 15726.197533326778, "combined": 9152.444992471825, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 53062.3546351277, "cagr": 0.1149219014294296, "maxDrawdown": -0.12347605703805031 }, "longOnly": { "terminal": 46276.81776257446, "cagr": 0.10186383875237914, "maxDrawdown": -0.18333116961612217 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 6785.536872553239, "netShort": 5668.464346900145, "financingDifference": 1117.0725256531678, "grossPremium": 11246.059002507396, "shortSettlements": 5391.644036235168, "shortFees": 124.15000000000043, "terminalShortLiability": 61.80061937208308, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 11211.75016216758, "longOnlyInterest": 10094.677636514412, "minCash": 13345.638590136366, "minLongOnlyCash": 13283.7945283879, "cycles": 96, "rolls": 9, "theta": { "longOnly": -6817.100313593928, "short": 17080.613987939338, "combined": 10263.513674345379, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 54331.358331683325, "cagr": 0.11719302207569893, "maxDrawdown": -0.12071284835378127 }, "longOnly": { "terminal": 46061.535618307615, "cagr": 0.10142153871264803, "maxDrawdown": -0.18473394928790732 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 8269.82271337571, "netShort": 6927.417334220382, "financingDifference": 1342.405379155396, "grossPremium": 11752.568386119163, "shortSettlements": 4642.016921779722, "shortFees": 124.15000000000043, "terminalShortLiability": 58.984130119058165, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 11361.187140072747, "longOnlyInterest": 10018.78176091735, "minCash": 13283.369032118748, "minLongOnlyCash": 13218.763674917587, "cycles": 96, "rolls": 9, "theta": { "longOnly": -6941.681890057287, "short": 17694.001867488743, "combined": 10752.319977431416, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 56721.424039303514, "cagr": 0.1213418975563394, "maxDrawdown": -0.11543672188436838 }, "longOnly": { "terminal": 45626.77418718207, "cagr": 0.10052252541344031, "maxDrawdown": -0.18757602195967482 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 11094.649852121445, "netShort": 9314.349336019157, "financingDifference": 1780.3005161023775, "grossPremium": 12766.473050535711, "shortSettlements": 3273.6377494438666, "shortFees": 124.15000000000043, "terminalShortLiability": 54.33596507268774, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 11648.82162438002, "longOnlyInterest": 9868.521108277642, "minCash": 13161.68971646902, "minLongOnlyCash": 13091.581908355147, "cycles": 96, "rolls": 9, "theta": { "longOnly": -7196.589211288016, "short": 18899.78156045511, "combined": 11703.192349167026, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 59538.1616721083, "cagr": 0.12603107543010617, "maxDrawdown": -0.11136059948301513 }, "longOnly": { "terminal": 44963.044253836284, "cagr": 0.09913482945237351, "maxDrawdown": -0.1919427035077449 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 14575.117418272013, "netShort": 12238.884630184733, "financingDifference": 2336.2327880874054, "grossPremium": 14266.891403199885, "shortSettlements": 1854.718598313403, "shortFees": 124.15000000000043, "terminalShortLiability": 49.13817470174919, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 11982.856747383266, "longOnlyInterest": 9646.623959295861, "minCash": 12986.064040310306, "minLongOnlyCash": 12907.752579986358, "cycles": 96, "rolls": 9, "theta": { "longOnly": -7592.89679977969, "short": 20597.12038698161, "combined": 13004.223587201932, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 49464.73354982776, "cagr": 0.10820239892491168, "maxDrawdown": -0.12260804980433526 }, "longOnly": { "terminal": 46703.536689377266, "cagr": 0.10273500867243057, "maxDrawdown": -0.18055533980877037 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 2761.1968604504946, "netShort": 2244.347952402196, "financingDifference": 516.8489080483796, "grossPremium": 13456.85931426118, "shortSettlements": 10946.451194858437, "shortFees": 124.15000000000043, "terminalShortLiability": 141.91016700054746, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 10764.966595582624, "longOnlyInterest": 10248.117687534244, "minCash": 13492.168740703719, "minLongOnlyCash": 13416.825336319642, "cycles": 96, "rolls": 9, "theta": { "longOnly": -6573.752540854933, "short": 18163.98201138928, "combined": 11590.229470534345, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 53042.6917978479, "cagr": 0.1148863221438261, "maxDrawdown": -0.10867393508279422 }, "longOnly": { "terminal": 46276.81776257446, "cagr": 0.10186383875237914, "maxDrawdown": -0.18333116961612217 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 6765.874035273446, "netShort": 5588.163730842378, "financingDifference": 1177.7103044311534, "grossPremium": 14866.714683606799, "shortSettlements": 9023.069877535843, "shortFees": 124.15000000000043, "terminalShortLiability": 131.33107522857728, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 11272.387940945566, "longOnlyInterest": 10094.677636514412, "minCash": 13366.52316400793, "minLongOnlyCash": 13283.7945283879, "cycles": 96, "rolls": 9, "theta": { "longOnly": -6817.100313593928, "short": 20186.524831402392, "combined": 13369.424517808422, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 54653.26086827754, "cagr": 0.11776141501668769, "maxDrawdown": -0.10439567223935242 }, "longOnly": { "terminal": 46061.535618307615, "cagr": 0.10142153871264803, "maxDrawdown": -0.18473394928790732 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 8591.725249969924, "netShort": 7113.999255927335, "financingDifference": 1477.7259940426666, "grossPremium": 15571.596532499601, "shortSettlements": 8206.455166236281, "shortFees": 124.15000000000043, "terminalShortLiability": 126.99211033598488, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 11496.507754960017, "longOnlyInterest": 10018.78176091735, "minCash": 13305.170707261746, "minLongOnlyCash": 13218.763674917587, "cycles": 96, "rolls": 9, "theta": { "longOnly": -6941.681890057287, "short": 21108.351168719855, "combined": 14166.669278662575, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 57681.12699094945, "cagr": 0.12296300818483674, "maxDrawdown": -0.09707928926391196 }, "longOnly": { "terminal": 45626.77418718207, "cagr": 0.10052252541344031, "maxDrawdown": -0.18757602195967482 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 12054.352803767382, "netShort": 10003.24056329069, "financingDifference": 2051.112240476761, "grossPremium": 16977.897730717064, "shortSettlements": 6730.7527506332335, "shortFees": 124.15000000000043, "terminalShortLiability": 119.75441679314116, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 11919.633348754403, "longOnlyInterest": 9868.521108277642, "minCash": 13185.317457125824, "minLongOnlyCash": 13091.581908355147, "cycles": 96, "rolls": 9, "theta": { "longOnly": -7196.589211288016, "short": 22860.305907781905, "combined": 15663.716696493864, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 61623.94638974517, "cagr": 0.12937448403401963, "maxDrawdown": -0.10030732868143477 }, "longOnly": { "terminal": 44963.044253836284, "cagr": 0.09913482945237351, "maxDrawdown": -0.1919427035077449 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 16660.902135908887, "netShort": 13894.30805026015, "financingDifference": 2766.594085648814, "grossPremium": 18977.95435756301, "shortSettlements": 4847.9344854886185, "shortFees": 124.15000000000043, "terminalShortLiability": 111.56182181424157, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 12413.218044944675, "longOnlyInterest": 9646.623959295861, "minCash": 13012.410689198607, "minLongOnlyCash": 12907.752579986358, "cycles": 96, "rolls": 9, "theta": { "longOnly": -7592.89679977969, "short": 25298.182524396474, "combined": 17705.285724616828, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 48061.82026516982, "cagr": 0.10546039096614068, "maxDrawdown": -0.12025612433908939 }, "longOnly": { "terminal": 46703.536689377266, "cagr": 0.10273500867243057, "maxDrawdown": -0.18055533980877037 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 1358.2835757925568, "netShort": 1034.9820739655345, "financingDifference": 323.30150182708894, "grossPremium": 16961.48969022323, "shortSettlements": 15555.052139294025, "shortFees": 124.15000000000043, "terminalShortLiability": 247.30547696366898, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 10571.419189361333, "longOnlyInterest": 10248.117687534244, "minCash": 13513.051113095802, "minLongOnlyCash": 13416.825336319642, "cycles": 96, "rolls": 9, "theta": { "longOnly": -6573.752540854933, "short": 20009.460476517936, "combined": 13435.707935663004, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 52169.59031481999, "cagr": 0.11329419365549409, "maxDrawdown": -0.10489545478862594 }, "longOnly": { "terminal": 46276.81776257446, "cagr": 0.10186383875237914, "maxDrawdown": -0.18333116961612217 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 5892.772552245529, "netShort": 4819.773510100886, "financingDifference": 1072.9990421446837, "grossPremium": 18803.74378199578, "shortSettlements": 13625.308521258437, "shortFees": 124.15000000000043, "terminalShortLiability": 234.51175063645735, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 11167.676678659096, "longOnlyInterest": 10094.677636514412, "minCash": 13389.421558175902, "minLongOnlyCash": 13283.7945283879, "cycles": 96, "rolls": 9, "theta": { "longOnly": -6817.100313593928, "short": 22439.981257515938, "combined": 15622.88094392201, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 54100.45917840533, "cagr": 0.11678341787341506, "maxDrawdown": -0.09790138716478747 }, "longOnly": { "terminal": 46061.535618307615, "cagr": 0.10142153871264803, "maxDrawdown": -0.18473394928790732 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 8038.923560097712, "netShort": 6608.952559312773, "financingDifference": 1429.9710007849662, "grossPremium": 19704.957356812138, "shortSettlements": 12742.616918884005, "shortFees": 124.15000000000043, "terminalShortLiability": 229.23787861535914, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 11448.752761702317, "longOnlyInterest": 10018.78176091735, "minCash": 13329.072337545937, "minLongOnlyCash": 13218.763674917587, "cycles": 96, "rolls": 9, "theta": { "longOnly": -6941.681890057287, "short": 23669.99327808353, "combined": 16728.31138802619, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 57843.01551238546, "cagr": 0.12323403421052026, "maxDrawdown": -0.08970417745179227 }, "longOnly": { "terminal": 45626.77418718207, "cagr": 0.10052252541344031, "maxDrawdown": -0.18757602195967482 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 12216.241325203388, "netShort": 10086.551887749605, "financingDifference": 2129.6894374538533, "grossPremium": 21464.69240045089, "shortSettlements": 11033.557989318471, "shortFees": 124.15000000000043, "terminalShortLiability": 220.43252338281576, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 11998.210545731496, "longOnlyInterest": 9868.521108277642, "minCash": 13211.21607301492, "minLongOnlyCash": 13091.581908355147, "cycles": 96, "rolls": 9, "theta": { "longOnly": -7196.589211288016, "short": 25992.164981233982, "combined": 18795.57576994592, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 63010.74249086777, "cagr": 0.13154066778568096, "maxDrawdown": -0.08929918304816198 }, "longOnly": { "terminal": 44963.044253836284, "cagr": 0.09913482945237351, "maxDrawdown": -0.1919427035077449 }, "stock": { "terminal": 68626.62545448083, "cagr": 0.13988938043535937, "maxDrawdown": -0.3371726769000343 }, "contribution": 18047.698237031487, "netShort": 14948.621442169682, "financingDifference": 3099.0767948618613, "grossPremium": 24112.79855401496, "shortSettlements": 8829.508335785216, "shortFees": 124.15000000000043, "terminalShortLiability": 210.51877606006286, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 12745.700754157722, "longOnlyInterest": 9646.623959295861, "minCash": 13041.281253930356, "minLongOnlyCash": 12907.752579986358, "cycles": 96, "rolls": 9, "theta": { "longOnly": -7592.89679977969, "short": 29498.803160119918, "combined": 21905.906360340217, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 33102.50424795363, "cagr": 0.1271220902993857, "maxDrawdown": -0.129887003680223 }, "longOnly": { "terminal": 30429.219549659236, "cagr": 0.11286457172100595, "maxDrawdown": -0.15735237290502369 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 2673.284698294392, "netShort": 2269.098036751542, "financingDifference": 404.1866615429608, "grossPremium": 4947.011410229969, "shortSettlements": 2454.4809750941226, "shortFees": 150.15000000000066, "terminalShortLiability": 73.28239838430406, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5106.20232510674, "longOnlyInterest": 4702.0156635637795, "minCash": 14224.781466643315, "minLongOnlyCash": 14212.367402051275, "cycles": 116, "rolls": 5, "theta": { "longOnly": -2873.2604110624843, "short": 8727.590110425479, "combined": 5854.329699362984, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 34388.36785249428, "cagr": 0.13363459933850352, "maxDrawdown": -0.11755574457354168 }, "longOnly": { "terminal": 30232.018371579907, "cagr": 0.1117712399962536, "maxDrawdown": -0.15946925543149693 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 4156.349480914374, "netShort": 3580.5488309578805, "financingDifference": 575.800649956609, "grossPremium": 5446.781690056378, "shortSettlements": 1638.717273320613, "shortFees": 150.15000000000066, "terminalShortLiability": 77.36558577788344, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5216.704865281545, "longOnlyInterest": 4640.904215324936, "minCash": 14153.470920023954, "minLongOnlyCash": 14139.76126237904, "cycles": 116, "rolls": 5, "theta": { "longOnly": -2984.9397089065696, "short": 9310.14800612247, "combined": 6325.208297215878, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 34898.981301134605, "cagr": 0.13616346932713985, "maxDrawdown": -0.11370837474944229 }, "longOnly": { "terminal": 30133.358766319616, "cagr": 0.11122197330332306, "maxDrawdown": -0.16051586475944934 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 4765.622534814989, "netShort": 4122.304440062554, "financingDifference": 643.3180947525452, "grossPremium": 5692.737233348529, "shortSettlements": 1340.8502643515662, "shortFees": 150.15000000000066, "terminalShortLiability": 79.43252893440871, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5254.21423060636, "longOnlyInterest": 4610.8961358538145, "minCash": 14118.203019492837, "minLongOnlyCash": 14103.8462968859, "cycles": 116, "rolls": 5, "theta": { "longOnly": -3042.3650180232307, "short": 9580.65835080174, "combined": 6538.293332778506, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 35770.29681387126, "cagr": 0.14040713062359012, "maxDrawdown": -0.11777152011778891 }, "longOnly": { "terminal": 29935.427012231237, "cagr": 0.11011541073224995, "maxDrawdown": -0.16259778420323068 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 5834.869801640023, "netShort": 5070.020309666619, "financingDifference": 764.8494919735131, "grossPremium": 6174.379172022478, "shortSettlements": 870.6050946035646, "shortFees": 150.15000000000066, "terminalShortLiability": 83.60376775229383, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5316.719918191624, "longOnlyInterest": 4551.870426218111, "minCash": 14048.430835710877, "minLongOnlyCash": 13946.537375892989, "cycles": 116, "rolls": 5, "theta": { "longOnly": -3160.216901171011, "short": 9991.885233786697, "combined": 6831.668332615696, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 36777.17245027145, "cagr": 0.14520309866790893, "maxDrawdown": -0.12731147481368243 }, "longOnly": { "terminal": 29635.7985519624, "cagr": 0.10842842497825345, "maxDrawdown": -0.16571549093284976 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 7141.373898309048, "netShort": 6244.04925826591, "financingDifference": 897.3246400432599, "grossPremium": 6892.983123368951, "shortSettlements": 408.85787248209624, "shortFees": 150.15000000000066, "terminalShortLiability": 89.92599262094387, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5362.875599395844, "longOnlyInterest": 4465.550959352584, "minCash": 13945.648871982177, "minLongOnlyCash": 13618.820064555552, "cycles": 116, "rolls": 5, "theta": { "longOnly": -3343.987983412511, "short": 10552.99353032136, "combined": 7209.005546908841, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 33159.407452651874, "cagr": 0.12741479082855256, "maxDrawdown": -0.1295854556969427 }, "longOnly": { "terminal": 30429.219549659236, "cagr": 0.11286457172100595, "maxDrawdown": -0.15735237290502369 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 2730.1879029926386, "netShort": 2294.635584464413, "financingDifference": 435.55231852830184, "grossPremium": 7072.117012608425, "shortSettlements": 4521.252765133576, "shortFees": 150.15000000000066, "terminalShortLiability": 106.078663010436, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5137.567982092081, "longOnlyInterest": 4702.0156635637795, "minCash": 14230.480851317641, "minLongOnlyCash": 14212.367402051275, "cycles": 116, "rolls": 5, "theta": { "longOnly": -2873.2604110624843, "short": 10479.702058214609, "combined": 7606.441647152133, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 34950.46290179759, "cagr": 0.13641669146397528, "maxDrawdown": -0.11619852857572921 }, "longOnly": { "terminal": 30232.018371579907, "cagr": 0.1117712399962536, "maxDrawdown": -0.15946925543149693 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 4718.444530217683, "netShort": 4052.411651965002, "financingDifference": 666.0328782527849, "grossPremium": 7794.197119382645, "shortSettlements": 3479.2978959348884, "shortFees": 150.15000000000066, "terminalShortLiability": 112.33757148275387, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5306.937093577721, "longOnlyInterest": 4640.904215324936, "minCash": 14159.734562876794, "minLongOnlyCash": 14139.76126237904, "cycles": 116, "rolls": 5, "theta": { "longOnly": -2984.9397089065696, "short": 11585.888425443389, "combined": 8600.948716536788, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 35771.070768983394, "cagr": 0.14041086091242283, "maxDrawdown": -0.10995439975249 }, "longOnly": { "terminal": 30133.358766319616, "cagr": 0.11122197330332306, "maxDrawdown": -0.16051586475944934 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 5637.712002663779, "netShort": 4865.2939522252245, "financingDifference": 772.418050438655, "grossPremium": 8148.863040665752, "shortSettlements": 3017.9242507576078, "shortFees": 150.15000000000066, "terminalShortLiability": 115.49483768291964, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5383.3141862924695, "longOnlyInterest": 4610.8961358538145, "minCash": 14124.748407604246, "minLongOnlyCash": 14103.8462968859, "cycles": 116, "rolls": 5, "theta": { "longOnly": -3042.3650180232307, "short": 12125.873407897834, "combined": 9083.508389874582, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 37257.43900005421, "cagr": 0.14745156002264315, "maxDrawdown": -0.11168700821416311 }, "longOnly": { "terminal": 29935.427012231237, "cagr": 0.11011541073224995, "maxDrawdown": -0.16259778420323068 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 7322.011987822974, "netShort": 6351.781948076279, "financingDifference": 970.2300397467898, "grossPremium": 8857.226799943335, "shortSettlements": 2233.445452300671, "shortFees": 150.15000000000066, "terminalShortLiability": 121.84939956638416, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5522.100465964901, "longOnlyInterest": 4551.870426218111, "minCash": 14055.538948170137, "minLongOnlyCash": 13946.537375892989, "cycles": 116, "rolls": 5, "theta": { "longOnly": -3160.216901171011, "short": 13106.138508442813, "combined": 9945.921607271774, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 39111.523462366014, "cagr": 0.1559072863815587, "maxDrawdown": -0.12084065909822894 }, "longOnly": { "terminal": 29635.7985519624, "cagr": 0.10842842497825345, "maxDrawdown": -0.16571549093284976 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 9475.724910403613, "netShort": 8259.510291476941, "financingDifference": 1216.2146189268078, "grossPremium": 9886.15391503718, "shortSettlements": 1345.0451780903181, "shortFees": 150.15000000000066, "terminalShortLiability": 131.44844546991692, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5681.765578279392, "longOnlyInterest": 4465.550959352584, "minCash": 13953.599160003829, "minLongOnlyCash": 13618.820064555552, "cycles": 116, "rolls": 5, "theta": { "longOnly": -3343.987983412511, "short": 14268.213156844991, "combined": 10924.22517343246, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 32821.1008156429, "cagr": 0.12566828885412473, "maxDrawdown": -0.12953019928997522 }, "longOnly": { "terminal": 30429.219549659236, "cagr": 0.11286457172100595, "maxDrawdown": -0.15735237290502369 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 2391.881265983666, "netShort": 1968.7681546393028, "financingDifference": 423.11311134442985, "grossPremium": 9336.94275693772, "shortSettlements": 7075.8379672528, "shortFees": 150.15000000000066, "terminalShortLiability": 142.18663504561704, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5125.128774908209, "longOnlyInterest": 4702.0156635637795, "minCash": 14222.745695832458, "minLongOnlyCash": 14212.367402051275, "cycles": 116, "rolls": 5, "theta": { "longOnly": -2873.2604110624843, "short": 11918.325620521604, "combined": 9045.065209459099, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 35127.698679412635, "cagr": 0.13728604530833444, "maxDrawdown": -0.11387094612511883 }, "longOnly": { "terminal": 30232.018371579907, "cagr": 0.1117712399962536, "maxDrawdown": -0.15946925543149693 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 4895.680307832728, "netShort": 4178.681496874029, "financingDifference": 716.9988109587757, "grossPremium": 10351.227832330613, "shortSettlements": 5871.435863567995, "shortFees": 150.15000000000066, "terminalShortLiability": 150.9604718885882, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5357.903026283711, "longOnlyInterest": 4640.904215324936, "minCash": 14166.652825835594, "minLongOnlyCash": 14139.76126237904, "cycles": 116, "rolls": 5, "theta": { "longOnly": -2984.9397089065696, "short": 13314.679449382167, "combined": 10329.73974047561, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 36169.55367098651, "cagr": 0.1423224224971813, "maxDrawdown": -0.10644360633841521 }, "longOnly": { "terminal": 30133.358766319616, "cagr": 0.11122197330332306, "maxDrawdown": -0.16051586475944934 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 6036.194904666896, "netShort": 5185.563821623565, "financingDifference": 850.6310830434122, "grossPremium": 10840.465736045426, "shortSettlements": 5349.3763767626015, "shortFees": 150.15000000000066, "terminalShortLiability": 155.37553765925907, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5461.527218897227, "longOnlyInterest": 4610.8961358538145, "minCash": 14131.977624342808, "minLongOnlyCash": 14103.8462968859, "cycles": 116, "rolls": 5, "theta": { "longOnly": -3042.3650180232307, "short": 14017.05860808439, "combined": 10974.693590061157, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 38142.58347323422, "cagr": 0.15153185268729263, "maxDrawdown": -0.10559222500819376 }, "longOnly": { "terminal": 29935.427012231237, "cagr": 0.11011541073224995, "maxDrawdown": -0.16259778420323068 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 8207.156461002982, "netShort": 7103.294238383959, "financingDifference": 1103.8622226191274, "grossPremium": 11789.705826543492, "shortSettlements": 4372.016811409611, "shortFees": 150.15000000000066, "terminalShortLiability": 164.24477674992062, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5655.732648837238, "longOnlyInterest": 4551.870426218111, "minCash": 14063.389165516126, "minLongOnlyCash": 13946.537375892989, "cycles": 116, "rolls": 5, "theta": { "longOnly": -3160.216901171011, "short": 15371.107274562455, "combined": 12210.890373391423, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 40808.23975014659, "cagr": 0.16335223067301619, "maxDrawdown": -0.11349088124383222 }, "longOnly": { "terminal": 29635.7985519624, "cagr": 0.10842842497825345, "maxDrawdown": -0.16571549093284976 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 11172.441198184188, "netShort": 9722.988073991877, "financingDifference": 1449.4531241924142, "grossPremium": 13185.818111689805, "shortSettlements": 3135.069986118006, "shortFees": 150.15000000000066, "terminalShortLiability": 177.61005157992145, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5915.004083544998, "longOnlyInterest": 4465.550959352584, "minCash": 13962.378616468903, "minLongOnlyCash": 13618.820064555552, "cycles": 116, "rolls": 5, "theta": { "longOnly": -3343.987983412511, "short": 17358.01270198699, "combined": 14014.0247185745, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 32448.418506970465, "cagr": 0.12372654489469714, "maxDrawdown": -0.1269579265124512 }, "longOnly": { "terminal": 30429.219549659236, "cagr": 0.11286457172100595, "maxDrawdown": -0.15735237290502369 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 2019.1989573112296, "netShort": 1627.0030486312323, "financingDifference": 392.1959086800998, "grossPremium": 11798.938588331865, "shortSettlements": 9840.18384125684, "shortFees": 150.15000000000066, "terminalShortLiability": 181.60169844379226, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5094.211572243879, "longOnlyInterest": 4702.0156635637795, "minCash": 14211.026537363963, "minLongOnlyCash": 14212.367402051275, "cycles": 116, "rolls": 5, "theta": { "longOnly": -2873.2604110624843, "short": 13112.741464623547, "combined": 10239.481053561061, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 34894.488088016755, "cagr": 0.13614135355451462, "maxDrawdown": -0.11051653300586184 }, "longOnly": { "terminal": 30232.018371579907, "cagr": 0.1117712399962536, "maxDrawdown": -0.15946925543149693 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 4662.469716436848, "netShort": 3947.30146202429, "financingDifference": 715.1682544126434, "grossPremium": 13071.821313691455, "shortSettlements": 8781.138893807494, "shortFees": 150.15000000000066, "terminalShortLiability": 193.23095785967013, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5356.072469737579, "longOnlyInterest": 4640.904215324936, "minCash": 14153.948244225965, "minLongOnlyCash": 14139.76126237904, "cycles": 116, "rolls": 5, "theta": { "longOnly": -2984.9397089065696, "short": 14784.805787533478, "combined": 11799.866078626874, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 36103.29084872201, "cagr": 0.1420057964058794, "maxDrawdown": -0.10265893382338243 }, "longOnly": { "terminal": 30133.358766319616, "cagr": 0.11122197330332306, "maxDrawdown": -0.16051586475944934 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 5969.932082402396, "netShort": 5095.765261327473, "financingDifference": 874.1668210750322, "grossPremium": 13705.560614957796, "shortSettlements": 8260.573254817335, "shortFees": 150.15000000000066, "terminalShortLiability": 199.07209881298797, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5485.062956928847, "longOnlyInterest": 4610.8961358538145, "minCash": 14125.807905456395, "minLongOnlyCash": 14103.8462968859, "cycles": 116, "rolls": 5, "theta": { "longOnly": -3042.3650180232307, "short": 15632.040915523201, "combined": 12589.675897499983, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 38485.8838699573, "cagr": 0.15309277215765427, "maxDrawdown": -0.10088746790682723 }, "longOnly": { "terminal": 29935.427012231237, "cagr": 0.11011541073224995, "maxDrawdown": -0.16259778420323068 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 8550.456857726065, "netShort": 7365.1018010150665, "financingDifference": 1185.3550567110924, "grossPremium": 14964.781863049082, "shortSettlements": 7238.74088552072, "shortFees": 150.15000000000066, "terminalShortLiability": 210.78917651329476, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5737.225482929203, "longOnlyInterest": 4551.870426218111, "minCash": 14070.313758654673, "minLongOnlyCash": 13946.537375892989, "cycles": 116, "rolls": 5, "theta": { "longOnly": -3160.216901171011, "short": 17290.983802277682, "combined": 14130.766901106663, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 41859.90360410942, "cagr": 0.16783588655340598, "maxDrawdown": -0.10684248388604889 }, "longOnly": { "terminal": 29635.7985519624, "cagr": 0.10842842497825345, "maxDrawdown": -0.16571549093284976 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 12224.10505214702, "netShort": 10609.872887535632, "financingDifference": 1614.2321646115051, "grossPremium": 16777.972726527914, "shortSettlements": 5789.53671955058, "shortFees": 150.15000000000066, "terminalShortLiability": 228.41311944170144, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 6079.783123964089, "longOnlyInterest": 4465.550959352584, "minCash": 13972.01621202745, "minLongOnlyCash": 13618.820064555552, "cycles": 116, "rolls": 5, "theta": { "longOnly": -3343.987983412511, "short": 19694.62950061538, "combined": 16350.641517202861, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 30888.837111274424, "cagr": 0.11538964631207826, "maxDrawdown": -0.1400379766576686 }, "longOnly": { "terminal": 30429.219549659236, "cagr": 0.11286457172100595, "maxDrawdown": -0.15735237290502369 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 459.6175616151886, "netShort": 250.6313777774343, "financingDifference": 208.98618383780558, "grossPremium": 4253.4172108197, "shortSettlements": 3837.661564852022, "shortFees": 112.45000000000033, "terminalShortLiability": 52.67426819024337, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 4911.001847401585, "longOnlyInterest": 4702.0156635637795, "minCash": 14227.050326215656, "minLongOnlyCash": 14212.367402051275, "cycles": 87, "rolls": 5, "theta": { "longOnly": -2873.2604110624843, "short": 7932.510423134293, "combined": 5059.250012071812, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 32232.45145429282, "cagr": 0.12259263645910301, "maxDrawdown": -0.13193239907687782 }, "longOnly": { "terminal": 30232.018371579907, "cagr": 0.1117712399962536, "maxDrawdown": -0.15946925543149693 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 2000.4330827129124, "netShort": 1626.9884547005909, "financingDifference": 373.44462801236114, "grossPremium": 4667.362518958198, "shortSettlements": 2871.1152567534873, "shortFees": 112.45000000000033, "terminalShortLiability": 56.808807504119585, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5014.348843337297, "longOnlyInterest": 4640.904215324936, "minCash": 14155.962581276415, "minLongOnlyCash": 14139.76126237904, "cycles": 87, "rolls": 5, "theta": { "longOnly": -2984.9397089065696, "short": 8453.71292375628, "combined": 5468.773214849715, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 32807.46006513773, "cagr": 0.12559754878719231, "maxDrawdown": -0.12815959179683367 }, "longOnly": { "terminal": 30133.358766319616, "cagr": 0.11122197330332306, "maxDrawdown": -0.16051586475944934 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 2674.1012988181174, "netShort": 2231.720830596808, "financingDifference": 442.3804682213704, "grossPremium": 4873.586335153816, "shortSettlements": 2470.5437241195996, "shortFees": 112.45000000000033, "terminalShortLiability": 58.871780437408816, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5053.276604075185, "longOnlyInterest": 4610.8961358538145, "minCash": 14120.805806639339, "minLongOnlyCash": 14103.8462968859, "cycles": 87, "rolls": 5, "theta": { "longOnly": -3042.3650180232307, "short": 8726.757977528528, "combined": 5684.392959505307, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 33725.424876011675, "cagr": 0.13030331028769382, "maxDrawdown": -0.12066652746196815 }, "longOnly": { "terminal": 29935.427012231237, "cagr": 0.11011541073224995, "maxDrawdown": -0.16259778420323068 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 3789.997863780438, "netShort": 3228.376813454874, "financingDifference": 561.621050325628, "grossPremium": 5284.5478965923, "shortSettlements": 1880.7337291741446, "shortFees": 112.45000000000033, "terminalShortLiability": 62.98735396328148, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5113.491476543739, "longOnlyInterest": 4551.870426218111, "minCash": 14051.255326269877, "minLongOnlyCash": 13946.537375892989, "cycles": 87, "rolls": 5, "theta": { "longOnly": -3160.216901171011, "short": 9196.376399876204, "combined": 6036.159498705183, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 34901.73400782564, "cagr": 0.13617701706443186, "maxDrawdown": -0.12652754088680207 }, "longOnly": { "terminal": 29635.7985519624, "cagr": 0.10842842497825345, "maxDrawdown": -0.16571549093284976 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 5265.935455863237, "netShort": 4537.7591187478765, "financingDifference": 728.1763371154193, "grossPremium": 5897.309295123113, "shortSettlements": 1177.9691021068516, "shortFees": 112.45000000000033, "terminalShortLiability": 69.13107426838465, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5193.727296468003, "longOnlyInterest": 4465.550959352584, "minCash": 13948.80455125404, "minLongOnlyCash": 13618.820064555552, "cycles": 87, "rolls": 5, "theta": { "longOnly": -3343.987983412511, "short": 9691.61508680425, "combined": 6347.6271033917565, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 30530.915305261165, "cagr": 0.11342604934502343, "maxDrawdown": -0.13546358233306444 }, "longOnly": { "terminal": 30429.219549659236, "cagr": 0.11286457172100595, "maxDrawdown": -0.15735237290502369 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 101.6957556019297, "netShort": -80.27266924917797, "financingDifference": 181.9684248511585, "grossPremium": 6059.662267239557, "shortSettlements": 5945.966399242408, "shortFees": 112.45000000000033, "terminalShortLiability": 81.51853724632616, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 4883.984088414938, "longOnlyInterest": 4702.0156635637795, "minCash": 14233.737968384154, "minLongOnlyCash": 14212.367402051275, "cycles": 87, "rolls": 5, "theta": { "longOnly": -2873.2604110624843, "short": 9451.788164388177, "combined": 6578.527753325689, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 32200.72584060698, "cagr": 0.12242552213717728, "maxDrawdown": -0.1256906674827799 }, "longOnly": { "terminal": 30232.018371579907, "cagr": 0.1117712399962536, "maxDrawdown": -0.15946925543149693 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 1968.7074690270747, "netShort": 1561.524083620633, "financingDifference": 407.18338540648983, "grossPremium": 6695.553046254659, "shortSettlements": 4933.537410256233, "shortFees": 112.45000000000033, "terminalShortLiability": 88.04155237779341, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5048.0876007314255, "longOnlyInterest": 4640.904215324936, "minCash": 14163.311164457844, "minLongOnlyCash": 14139.76126237904, "cycles": 87, "rolls": 5, "theta": { "longOnly": -2984.9397089065696, "short": 10423.623290329804, "combined": 7438.683581423235, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 32986.42382708738, "cagr": 0.1265236654092896, "maxDrawdown": -0.12119347974847983 }, "longOnly": { "terminal": 30133.358766319616, "cagr": 0.11122197330332306, "maxDrawdown": -0.16051586475944934 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 2853.065060767767, "netShort": 2343.562082062048, "financingDifference": 509.50297870577924, "grossPremium": 6990.880110466919, "shortSettlements": 4443.573083971783, "shortFees": 112.45000000000033, "terminalShortLiability": 91.29494443308843, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5120.399114559594, "longOnlyInterest": 4610.8961358538145, "minCash": 14128.48433252394, "minLongOnlyCash": 14103.8462968859, "cycles": 87, "rolls": 5, "theta": { "longOnly": -3042.3650180232307, "short": 10855.947019082554, "combined": 7813.582001059328, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 34405.94356691204, "cagr": 0.13372217302367728, "maxDrawdown": -0.11268370680284223 }, "longOnly": { "terminal": 29935.427012231237, "cagr": 0.11011541073224995, "maxDrawdown": -0.16259778420323068 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 4470.516554680806, "netShort": 3780.5020692985336, "financingDifference": 690.0144853823404, "grossPremium": 7579.278950681319, "shortSettlements": 3588.5435879490387, "shortFees": 112.45000000000033, "terminalShortLiability": 97.78329343374637, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5241.884911600451, "longOnlyInterest": 4551.870426218111, "minCash": 14059.592684362993, "minLongOnlyCash": 13946.537375892989, "cycles": 87, "rolls": 5, "theta": { "longOnly": -3160.216901171011, "short": 11664.644905850773, "combined": 8504.428004679758, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 36317.2990085341, "cagr": 0.1430266305141661, "maxDrawdown": -0.11928508986636055 }, "longOnly": { "terminal": 29635.7985519624, "cagr": 0.10842842497825345, "maxDrawdown": -0.16571549093284976 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 6681.500456571699, "netShort": 5753.612594047057, "financingDifference": 927.8878625247162, "grossPremium": 8456.293487756873, "shortSettlements": 2482.765746100924, "shortFees": 112.45000000000033, "terminalShortLiability": 107.46514760889099, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5393.4388218773, "longOnlyInterest": 4465.550959352584, "minCash": 13958.127531868096, "minLongOnlyCash": 13618.820064555552, "cycles": 87, "rolls": 5, "theta": { "longOnly": -3343.987983412511, "short": 12758.768392439088, "combined": 9414.780409026604, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 29816.033599885424, "cagr": 0.10944492019562069, "maxDrawdown": -0.13019559005708936 }, "longOnly": { "terminal": 30429.219549659236, "cagr": 0.11286457172100595, "maxDrawdown": -0.15735237290502369 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": -613.1859497738114, "netShort": -708.656546418439, "financingDifference": 95.47059664468543, "grossPremium": 7967.319018889892, "shortSettlements": 8448.424110093209, "shortFees": 112.45000000000033, "terminalShortLiability": 115.10145521512172, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 4797.486260208465, "longOnlyInterest": 4702.0156635637795, "minCash": 14241.124321013005, "minLongOnlyCash": 14212.367402051275, "cycles": 87, "rolls": 5, "theta": { "longOnly": -2873.2604110624843, "short": 10804.585500547037, "combined": 7931.325089484555, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 32033.1018489109, "cagr": 0.12154023763829036, "maxDrawdown": -0.11847510114383863 }, "longOnly": { "terminal": 30232.018371579907, "cagr": 0.1117712399962536, "maxDrawdown": -0.15946925543149693 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 1801.0834773309944, "netShort": 1415.183257673043, "financingDifference": 385.90021965801316, "grossPremium": 8865.081264036282, "shortSettlements": 7212.9924719266855, "shortFees": 112.45000000000033, "terminalShortLiability": 124.455534436553, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5026.804434982949, "longOnlyInterest": 4640.904215324936, "minCash": 14171.426887043704, "minLongOnlyCash": 14139.76126237904, "cycles": 87, "rolls": 5, "theta": { "longOnly": -2984.9397089065696, "short": 12047.190477643713, "combined": 9062.250768737145, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 33005.530593657364, "cagr": 0.12662228855231805, "maxDrawdown": -0.1128913894645347 }, "longOnly": { "terminal": 30133.358766319616, "cagr": 0.11122197330332306, "maxDrawdown": -0.16051586475944934 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 2872.1718273377483, "netShort": 2350.373770764889, "financingDifference": 521.7980565729395, "grossPremium": 9303.872536136283, "shortSettlements": 6711.929309852974, "shortFees": 112.45000000000033, "terminalShortLiability": 129.1194555184198, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5132.694192426754, "longOnlyInterest": 4610.8961358538145, "minCash": 14136.964115372484, "minLongOnlyCash": 14103.8462968859, "cycles": 87, "rolls": 5, "theta": { "longOnly": -3042.3650180232307, "short": 12608.809895126682, "combined": 9566.444877103442, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 34760.536231977654, "cagr": 0.13548092441899184, "maxDrawdown": -0.1046737338283884 }, "longOnly": { "terminal": 29935.427012231237, "cagr": 0.11011541073224995, "maxDrawdown": -0.16259778420323068 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 4825.109219746417, "netShort": 4065.811818651847, "financingDifference": 759.2974010946346, "grossPremium": 10108.994173295197, "shortSettlements": 5792.313823707394, "shortFees": 112.45000000000033, "terminalShortLiability": 138.4185309359566, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5311.167827312745, "longOnlyInterest": 4551.870426218111, "minCash": 14068.799341320428, "minLongOnlyCash": 13946.537375892989, "cycles": 87, "rolls": 5, "theta": { "longOnly": -3160.216901171011, "short": 13668.936808245777, "combined": 10508.719907074777, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 37165.148319252265, "cagr": 0.14702140049990087, "maxDrawdown": -0.11105534874409895 }, "longOnly": { "terminal": 29635.7985519624, "cagr": 0.10842842497825345, "maxDrawdown": -0.16571549093284976 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 7529.349767289863, "netShort": 6452.302595165812, "financingDifference": 1077.0471721241229, "grossPremium": 11276.468959780943, "shortSettlements": 4559.426371964483, "shortFees": 112.45000000000033, "terminalShortLiability": 152.28999265064687, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5542.598131476707, "longOnlyInterest": 4465.550959352584, "minCash": 13968.42139296231, "minLongOnlyCash": 13618.820064555552, "cycles": 87, "rolls": 5, "theta": { "longOnly": -3343.987983412511, "short": 15279.442613298239, "combined": 11935.454629885759, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 28691.327782199623, "cagr": 0.10301435285817884, "maxDrawdown": -0.12465102378628612 }, "longOnly": { "terminal": 30429.219549659236, "cagr": 0.11286457172100595, "maxDrawdown": -0.15735237290502369 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": -1737.8917674596123, "netShort": -1725.0258072525805, "financingDifference": -12.865960206996533, "grossPremium": 10049.850844592233, "shortSettlements": 11509.01315299551, "shortFees": 112.45000000000033, "terminalShortLiability": 153.41349884930224, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 4689.149703356783, "longOnlyInterest": 4702.0156635637795, "minCash": 14249.233976031748, "minLongOnlyCash": 14212.367402051275, "cycles": 87, "rolls": 5, "theta": { "longOnly": -2873.2604110624843, "short": 11681.42407069255, "combined": 8808.16365963007, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 31131.400215313573, "cagr": 0.11670942236064441, "maxDrawdown": -0.11216236173441108 }, "longOnly": { "terminal": 30232.018371579907, "cagr": 0.1117712399962536, "maxDrawdown": -0.15946925543149693 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 899.3818437336668, "netShort": 598.5552410790643, "financingDifference": 300.82660265464983, "grossPremium": 11151.47363614422, "shortSettlements": 10274.423073334752, "shortFees": 112.45000000000033, "terminalShortLiability": 166.0453217304024, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 4941.7308179795855, "longOnlyInterest": 4640.904215324936, "minCash": 14180.336667781861, "minLongOnlyCash": 14139.76126237904, "cycles": 87, "rolls": 5, "theta": { "longOnly": -2984.9397089065696, "short": 13180.294324911794, "combined": 10195.354616005243, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 32333.46776296591, "cagr": 0.12312381034620912, "maxDrawdown": -0.10727851467284855 }, "longOnly": { "terminal": 30133.358766319616, "cagr": 0.11122197330332306, "maxDrawdown": -0.16051586475944934 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 2200.1089966462932, "netShort": 1744.3778910958079, "financingDifference": 455.73110555054336, "grossPremium": 11708.792019918686, "shortSettlements": 9679.622264065503, "shortFees": 112.45000000000033, "terminalShortLiability": 172.34186475737516, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5066.627241404358, "longOnlyInterest": 4610.8961358538145, "minCash": 14146.273228518618, "minLongOnlyCash": 14103.8462968859, "cycles": 87, "rolls": 5, "theta": { "longOnly": -3042.3650180232307, "short": 13956.975799598104, "combined": 10914.610781574896, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 34718.477153102234, "cagr": 0.13527311292917843, "maxDrawdown": -0.09798987576926854 }, "longOnly": { "terminal": 29935.427012231237, "cagr": 0.11011541073224995, "maxDrawdown": -0.16259778420323068 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 4783.050140870997, "netShort": 4020.567525563897, "financingDifference": 762.4826153071663, "grossPremium": 12825.99603983503, "shortSettlements": 8508.085056529555, "shortFees": 112.45000000000033, "terminalShortLiability": 184.89345774157755, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5314.353041525277, "longOnlyInterest": 4551.870426218111, "minCash": 14078.905662087027, "minLongOnlyCash": 13946.537375892989, "cycles": 87, "rolls": 5, "theta": { "longOnly": -3160.216901171011, "short": 15520.357992446974, "combined": 12360.141091275953, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 37749.443146895064, "cagr": 0.14972960491267462, "maxDrawdown": -0.10297784374621355 }, "longOnly": { "terminal": 29635.7985519624, "cagr": 0.10842842497825345, "maxDrawdown": -0.16571549093284976 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 8113.644594932663, "netShort": 6954.141235315877, "financingDifference": 1159.5033596168505, "grossPremium": 14366.250188540067, "shortSettlements": 7096.047505684758, "shortFees": 112.45000000000033, "terminalShortLiability": 203.61144753943137, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5625.0543189694345, "longOnlyInterest": 4465.550959352584, "minCash": 13979.719893255242, "minLongOnlyCash": 13618.820064555552, "cycles": 87, "rolls": 5, "theta": { "longOnly": -3343.987983412511, "short": 17461.884642735924, "combined": 14117.89665932344, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 31964.797486285137, "cagr": 0.12117836898336365, "maxDrawdown": -0.12937478693050963 }, "longOnly": { "terminal": 30429.219549659236, "cagr": 0.11286457172100595, "maxDrawdown": -0.15735237290502369 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 1535.5779366259012, "netShort": 1227.3132376600138, "financingDifference": 308.26469896591516, "grossPremium": 3433.544187109394, "shortSettlements": 1732.229125112842, "shortFees": 70.84999999999997, "terminalShortLiability": 403.1518243365383, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5010.280362529695, "longOnlyInterest": 4702.0156635637795, "minCash": 14230.354450261555, "minLongOnlyCash": 14212.367402051275, "cycles": 55, "rolls": 5, "theta": { "longOnly": -2873.2604110624843, "short": 6379.923616998411, "combined": 3506.663205935922, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 32599.734440822634, "cagr": 0.12451720012311407, "maxDrawdown": -0.12730306069475905 }, "longOnly": { "terminal": 30232.018371579907, "cagr": 0.1117712399962536, "maxDrawdown": -0.15946925543149693 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 2367.716069242728, "netShort": 1970.353610473456, "financingDifference": 397.362458769303, "grossPremium": 3768.970263854644, "shortSettlements": 1347.0337896791634, "shortFees": 70.84999999999997, "terminalShortLiability": 380.7328637020248, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5038.266674094239, "longOnlyInterest": 4640.904215324936, "minCash": 14159.590000700451, "minLongOnlyCash": 14139.76126237904, "cycles": 55, "rolls": 5, "theta": { "longOnly": -2984.9397089065696, "short": 6708.299321762602, "combined": 3723.35961285603, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 32865.451382159656, "cagr": 0.1258981157354746, "maxDrawdown": -0.1263735307262741 }, "longOnly": { "terminal": 30133.358766319616, "cagr": 0.11122197330332306, "maxDrawdown": -0.16051586475944934 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 2732.09261584004, "netShort": 2297.194546830686, "financingDifference": 434.89806900938675, "grossPremium": 3933.9909414905574, "shortSettlements": 1194.5542864974684, "shortFees": 70.84999999999997, "terminalShortLiability": 371.39210816240364, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5045.794204863201, "longOnlyInterest": 4610.8961358538145, "minCash": 14124.594395864136, "minLongOnlyCash": 14103.8462968859, "cycles": 55, "rolls": 5, "theta": { "longOnly": -3042.3650180232307, "short": 6893.291109481071, "combined": 3850.926091457835, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 33366.118786439016, "cagr": 0.12847450420020956, "maxDrawdown": -0.12467379037963378 }, "longOnly": { "terminal": 29935.427012231237, "cagr": 0.11011541073224995, "maxDrawdown": -0.16259778420323068 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 3430.6917742077785, "netShort": 2926.196287437818, "financingDifference": 504.49548676999075, "grossPremium": 4262.477571190192, "shortSettlements": 909.7255842485495, "shortFees": 70.84999999999997, "terminalShortLiability": 355.7056995038252, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5056.365912988102, "longOnlyInterest": 4551.870426218111, "minCash": 14055.365302478052, "minLongOnlyCash": 13946.537375892989, "cycles": 55, "rolls": 5, "theta": { "longOnly": -3160.216901171011, "short": 7238.484497382715, "combined": 4078.2675962117055, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 34081.24060201234, "cagr": 0.13209812494928852, "maxDrawdown": -0.12906545447895013 }, "longOnly": { "terminal": 29635.7985519624, "cagr": 0.10842842497825345, "maxDrawdown": -0.16571549093284976 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 4445.442050049936, "netShort": 3843.0101348334747, "financingDifference": 602.4319152164917, "grossPremium": 4751.36910209446, "shortSettlements": 499.4728861391451, "shortFees": 70.84999999999997, "terminalShortLiability": 338.0360811218395, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5067.982874569076, "longOnlyInterest": 4465.550959352584, "minCash": 13953.39423582654, "minLongOnlyCash": 13618.820064555552, "cycles": 55, "rolls": 5, "theta": { "longOnly": -3343.987983412511, "short": 7753.139534215939, "combined": 4409.151550803418, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 31874.89278428019, "cagr": 0.12070106235853695, "maxDrawdown": -0.12067087540200772 }, "longOnly": { "terminal": 30429.219549659236, "cagr": 0.11286457172100595, "maxDrawdown": -0.15735237290502369 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 1445.6732346209537, "netShort": 1153.9779609618345, "financingDifference": 291.69527365915746, "grossPremium": 4899.397527029068, "shortSettlements": 3159.3630535340367, "shortFees": 70.84999999999997, "terminalShortLiability": 515.2065125331973, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 4993.710937222937, "longOnlyInterest": 4702.0156635637795, "minCash": 14222.716551741512, "minLongOnlyCash": 14212.367402051275, "cycles": 55, "rolls": 5, "theta": { "longOnly": -2873.2604110624843, "short": 7899.981428666042, "combined": 5026.721017603547, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 33269.10166417743, "cagr": 0.12797783833891696, "maxDrawdown": -0.11581475040305445 }, "longOnly": { "terminal": 30232.018371579907, "cagr": 0.1117712399962536, "maxDrawdown": -0.15946925543149693 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 3037.0832925975265, "netShort": 2542.112612557943, "financingDifference": 494.9706800396325, "grossPremium": 5395.214753282619, "shortSettlements": 2288.240526590658, "shortFees": 70.84999999999997, "terminalShortLiability": 494.0116141340184, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5135.874895364568, "longOnlyInterest": 4640.904215324936, "minCash": 14168.517140499769, "minLongOnlyCash": 14139.76126237904, "cycles": 55, "rolls": 5, "theta": { "longOnly": -2984.9397089065696, "short": 8690.094262879269, "combined": 5705.154553972714, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 33814.795868191955, "cagr": 0.13075562376498095, "maxDrawdown": -0.11362256440074625 }, "longOnly": { "terminal": 30133.358766319616, "cagr": 0.11122197330332306, "maxDrawdown": -0.16051586475944934 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 3681.4371018723396, "netShort": 3103.993359169821, "financingDifference": 577.4437427025678, "grossPremium": 5640.07985985501, "shortSettlements": 1980.045562020966, "shortFees": 70.84999999999997, "terminalShortLiability": 485.1909386642234, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5188.339878556382, "longOnlyInterest": 4610.8961358538145, "minCash": 14133.921284564492, "minLongOnlyCash": 14103.8462968859, "cycles": 55, "rolls": 5, "theta": { "longOnly": -3042.3650180232307, "short": 8994.08115561914, "combined": 5951.716137595911, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 34546.809270101665, "cagr": 0.13442268946365332, "maxDrawdown": -0.11428847270915254 }, "longOnly": { "terminal": 29935.427012231237, "cagr": 0.11011541073224995, "maxDrawdown": -0.16259778420323068 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 4611.382257870428, "netShort": 3929.969607872673, "financingDifference": 681.4126499978029, "grossPremium": 6109.875419844674, "shortSettlements": 1638.5926292143708, "shortFees": 70.84999999999997, "terminalShortLiability": 470.4631827576293, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5233.283076215914, "longOnlyInterest": 4551.870426218111, "minCash": 14065.49013768749, "minLongOnlyCash": 13946.537375892989, "cycles": 55, "rolls": 5, "theta": { "longOnly": -3160.216901171011, "short": 9436.342232992893, "combined": 6276.125331821854, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 35539.19517728284, "cagr": 0.1392901962697768, "maxDrawdown": -0.12384907908682341 }, "longOnly": { "terminal": 29635.7985519624, "cagr": 0.10842842497825345, "maxDrawdown": -0.16571549093284976 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 5903.396625320438, "netShort": 5080.786532138501, "financingDifference": 822.610093181991, "grossPremium": 6808.75901624885, "shortSettlements": 1202.9459315893475, "shortFees": 70.84999999999997, "terminalShortLiability": 454.17655252100104, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5288.161052534575, "longOnlyInterest": 4465.550959352584, "minCash": 13964.712125464941, "minLongOnlyCash": 13618.820064555552, "cycles": 55, "rolls": 5, "theta": { "longOnly": -3343.987983412511, "short": 10223.927958472552, "combined": 6879.9399750600305, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 31212.76424283494, "cagr": 0.11715016598265371, "maxDrawdown": -0.11136195866293719 }, "longOnly": { "terminal": 30429.219549659236, "cagr": 0.11286457172100595, "maxDrawdown": -0.15735237290502369 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 783.5446931757033, "netShort": 565.6931342294018, "financingDifference": 217.85155894631862, "grossPremium": 6515.162764448766, "shortSettlements": 5255.626807227736, "shortFees": 70.84999999999997, "terminalShortLiability": 622.9928229916283, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 4919.867222510098, "longOnlyInterest": 4702.0156635637795, "minCash": 14207.990524178444, "minLongOnlyCash": 14212.367402051275, "cycles": 55, "rolls": 5, "theta": { "longOnly": -2873.2604110624843, "short": 8883.057045339103, "combined": 6009.79663427663, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 32858.679087025055, "cagr": 0.1258630383959829, "maxDrawdown": -0.1054191535729212 }, "longOnly": { "terminal": 30232.018371579907, "cagr": 0.1117712399962536, "maxDrawdown": -0.15946925543149693 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 2626.6607154451485, "netShort": 2187.558650283261, "financingDifference": 439.10206516191647, "grossPremium": 7165.303067709664, "shortSettlements": 4302.291477364684, "shortFees": 70.84999999999997, "terminalShortLiability": 604.6029400617186, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5080.006280486852, "longOnlyInterest": 4640.904215324936, "minCash": 14162.75360651815, "minLongOnlyCash": 14139.76126237904, "cycles": 55, "rolls": 5, "theta": { "longOnly": -2984.9397089065696, "short": 9901.583115624924, "combined": 6916.643406718352, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 33685.74781742797, "cagr": 0.13010217545770386, "maxDrawdown": -0.10250771335307907 }, "longOnly": { "terminal": 30133.358766319616, "cagr": 0.11122197330332306, "maxDrawdown": -0.16051586475944934 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 3552.389051108352, "netShort": 3001.651753088013, "financingDifference": 550.7372980203709, "grossPremium": 7490.792664183201, "shortSettlements": 3821.2525279138913, "shortFees": 70.84999999999997, "terminalShortLiability": 597.0383831812967, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5161.633433874185, "longOnlyInterest": 4610.8961358538145, "minCash": 14140.543560562799, "minLongOnlyCash": 14103.8462968859, "cycles": 55, "rolls": 5, "theta": { "longOnly": -3042.3650180232307, "short": 10400.973147320115, "combined": 7358.608129296888, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 35219.58435401933, "cagr": 0.13773528641525035, "maxDrawdown": -0.10957717429684943 }, "longOnly": { "terminal": 29935.427012231237, "cagr": 0.11011541073224995, "maxDrawdown": -0.16259778420323068 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 5284.157341788094, "netShort": 4517.8192213489765, "financingDifference": 766.3381204391535, "grossPremium": 8142.116775798949, "shortSettlements": 2968.817811267374, "shortFees": 70.84999999999997, "terminalShortLiability": 584.6297431825974, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5318.208546657264, "longOnlyInterest": 4551.870426218111, "minCash": 14076.66868482219, "minLongOnlyCash": 13946.537375892989, "cycles": 55, "rolls": 5, "theta": { "longOnly": -3160.216901171011, "short": 11434.753825905382, "combined": 8274.536924734377, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 37077.86963170343, "cagr": 0.1466137664831597, "maxDrawdown": -0.1190356305850514 }, "longOnly": { "terminal": 29635.7985519624, "cagr": 0.10842842497825345, "maxDrawdown": -0.16571549093284976 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 7442.071079741025, "netShort": 6404.897579280529, "financingDifference": 1037.1735004605525, "grossPremium": 9074.14883174305, "shortSettlements": 2026.8724664937465, "shortFees": 70.84999999999997, "terminalShortLiability": 571.5287859687749, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5502.7244598131365, "longOnlyInterest": 4465.550959352584, "minCash": 13977.206144700818, "minLongOnlyCash": 13618.820064555552, "cycles": 55, "rolls": 5, "theta": { "longOnly": -3343.987983412511, "short": 12680.095697978393, "combined": 9336.107714565875, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 30639.796947816358, "cagr": 0.11402544435730189, "maxDrawdown": -0.10020175530272368 }, "longOnly": { "terminal": 30429.219549659236, "cagr": 0.11286457172100595, "maxDrawdown": -0.15735237290502369 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 210.57739815712193, "netShort": 56.16851331490557, "financingDifference": 154.4088848422216, "grossPremium": 8284.89594153997, "shortSettlements": 7429.88967924317, "shortFees": 70.84999999999997, "terminalShortLiability": 727.9877489818944, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 4856.424548406001, "longOnlyInterest": 4702.0156635637795, "minCash": 14200.223471374224, "minLongOnlyCash": 14212.367402051275, "cycles": 55, "rolls": 5, "theta": { "longOnly": -2873.2604110624843, "short": 9716.515449839791, "combined": 6843.255038777304, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 32400.46767220794, "cagr": 0.1234753394123751, "maxDrawdown": -0.09311411547896209 }, "longOnly": { "terminal": 30232.018371579907, "cagr": 0.1117712399962536, "maxDrawdown": -0.15946925543149693 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 2168.449300628032, "netShort": 1775.0338942074686, "financingDifference": 393.415406420605, "grossPremium": 9104.46526134731, "shortSettlements": 6544.978150741697, "shortFees": 70.84999999999997, "terminalShortLiability": 713.603216398144, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5034.319621745541, "longOnlyInterest": 4640.904215324936, "minCash": 14154.072033584776, "minLongOnlyCash": 14139.76126237904, "cycles": 55, "rolls": 5, "theta": { "longOnly": -2984.9397089065696, "short": 10875.070189180944, "combined": 7890.130480274372, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 33265.808168678464, "cagr": 0.12796095617513337, "maxDrawdown": -0.09568051398086175 }, "longOnly": { "terminal": 30133.358766319616, "cagr": 0.11122197330332306, "maxDrawdown": -0.16051586475944934 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 3132.4494023588486, "netShort": 2622.377131010874, "financingDifference": 510.0722713479918, "grossPremium": 9513.719444548688, "shortSettlements": 6112.623366242657, "shortFees": 70.84999999999997, "terminalShortLiability": 707.8689472951567, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5120.968407201806, "longOnlyInterest": 4610.8961358538145, "minCash": 14131.395326569535, "minLongOnlyCash": 14103.8462968859, "cycles": 55, "rolls": 5, "theta": { "longOnly": -3042.3650180232307, "short": 11452.893292819566, "combined": 8410.528274796323, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 34932.902394748504, "cagr": 0.13633035233833635, "maxDrawdown": -0.1032983254979396 }, "longOnly": { "terminal": 29935.427012231237, "cagr": 0.11011541073224995, "maxDrawdown": -0.16259778420323068 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 4997.475382517267, "netShort": 4263.315388257476, "financingDifference": 734.1599942598095, "grossPremium": 10331.507368967092, "shortSettlements": 5298.470461962299, "shortFees": 70.84999999999997, "terminalShortLiability": 698.8715187473161, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5286.03042047792, "longOnlyInterest": 4551.870426218111, "minCash": 14086.82910800151, "minLongOnlyCash": 13946.537375892989, "cycles": 55, "rolls": 5, "theta": { "longOnly": -3160.216901171011, "short": 12619.922323827617, "combined": 9459.705422656629, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "SPY", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.013, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 37364.66541652237, "cagr": 0.14795019942863408, "maxDrawdown": -0.11451369818445423 }, "longOnly": { "terminal": 29635.7985519624, "cagr": 0.10842842497825345, "maxDrawdown": -0.16571549093284976 }, "stock": { "terminal": 39324.89996327079, "cagr": 0.15685844904128743, "maxDrawdown": -0.3371726769000344 }, "contribution": 7728.866864559972, "netShort": 6662.813497726219, "financingDifference": 1066.0533668337775, "grossPremium": 11554.005604407826, "shortSettlements": 4129.884839782593, "shortFees": 70.84999999999997, "terminalShortLiability": 690.4572668990141, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5531.6043261863615, "longOnlyInterest": 4465.550959352584, "minCash": 13990.91691901685, "minLongOnlyCash": 13618.820064555552, "cycles": 55, "rolls": 5, "theta": { "longOnly": -3343.987983412511, "short": 14389.205893058408, "combined": 11045.217909645895, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 198792.85946371264, "cagr": 0.12702895991678664, "maxDrawdown": -0.2906457597327148 }, "longOnly": { "terminal": 189144.77417713305, "cagr": 0.12443727527728399, "maxDrawdown": -0.3365390352706338 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 9648.08528657959, "netShort": 6220.196862817927, "financingDifference": 3427.888423761513, "grossPremium": 63815.59084122949, "shortSettlements": 56535.62581484366, "shortFees": 489.4499999999934, "terminalShortLiability": 570.3181635679073, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 40100.58657526258, "longOnlyInterest": 36672.69815150107, "minCash": 13824.82915212418, "minLongOnlyCash": 13514.888519538747, "cycles": 377, "rolls": 17, "theta": { "longOnly": -38691.72101450221, "short": 108536.78389879054, "combined": 69845.06288428824, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 217403.82715838208, "cagr": 0.13170601878861787, "maxDrawdown": -0.26141975259507655 }, "longOnly": { "terminal": 186016.070154738, "cagr": 0.12356970872334383, "maxDrawdown": -0.3466199595219136 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 31387.757003644074, "netShort": 23347.5089122285, "financingDifference": 8040.248091415182, "grossPremium": 70057.85471884071, "shortSettlements": 45642.50524756218, "shortFees": 489.4499999999934, "terminalShortLiability": 578.390559050041, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 43527.218391813025, "longOnlyInterest": 35486.97030039784, "minCash": 13721.68379155602, "minLongOnlyCash": 13216.82902666747, "cycles": 377, "rolls": 17, "theta": { "longOnly": -40339.13405091842, "short": 116073.5839736388, "combined": 75734.44992272036, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 225679.43723597316, "cagr": 0.13366419775317095, "maxDrawdown": -0.24920416504220766 }, "longOnly": { "terminal": 184452.30072941413, "cagr": 0.1231308573392873, "maxDrawdown": -0.3517107695720584 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 41227.136506559036, "netShort": 31118.927923897267, "financingDifference": 10108.20858266142, "grossPremium": 73162.20018141242, "shortSettlements": 40970.58107222175, "shortFees": 489.4499999999934, "terminalShortLiability": 583.2411852934143, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 45010.1812439872, "longOnlyInterest": 34901.97266132578, "minCash": 13670.982855435574, "minLongOnlyCash": 13077.343655058694, "cycles": 377, "rolls": 17, "theta": { "longOnly": -41189.086514599636, "short": 119650.55121735834, "combined": 78461.46470275884, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 240981.5584306656, "cagr": 0.13711109081082373, "maxDrawdown": -0.22804898993236766 }, "longOnly": { "terminal": 181311.61025503132, "cagr": 0.12223863955378556, "maxDrawdown": -0.36206421851937853 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 59669.94817563429, "netShort": 45860.60149702616, "financingDifference": 13809.346678607842, "grossPremium": 79362.50899570883, "shortSettlements": 32418.30001802183, "shortFees": 489.4499999999934, "terminalShortLiability": 594.1574806608514, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 47553.4280644912, "longOnlyInterest": 33744.08138588336, "minCash": 13571.285421061555, "minLongOnlyCash": 12815.26578651087, "cycles": 377, "rolls": 17, "theta": { "longOnly": -42940.23748944141, "short": 126294.88714560273, "combined": 83354.6496561616, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 261612.56786261135, "cagr": 0.141441748755744, "maxDrawdown": -0.20187416654092538 }, "longOnly": { "terminal": 176533.4087197959, "cagr": 0.12085255317217047, "maxDrawdown": -0.3781908524345774 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 85079.15914281545, "netShort": 66261.6155545388, "financingDifference": 18817.543588276152, "grossPremium": 88574.74369592994, "shortSettlements": 21210.95848173261, "shortFees": 489.4499999999934, "terminalShortLiability": 612.7196596585264, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 50845.98652049041, "longOnlyInterest": 32028.44293221426, "minCash": 13425.886790817402, "minLongOnlyCash": 12458.913682254872, "cycles": 377, "rolls": 17, "theta": { "longOnly": -45692.227368516134, "short": 135326.66328579528, "combined": 89634.43591727944, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 196155.94501093336, "cagr": 0.12633274919297866, "maxDrawdown": -0.29113004342448356 }, "longOnly": { "terminal": 189144.77417713305, "cagr": 0.12443727527728399, "maxDrawdown": -0.3365390352706338 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 7011.170833800308, "netShort": 4078.705521262356, "financingDifference": 2932.4653125377736, "grossPremium": 91365.04860949746, "shortSettlements": 85839.11876148115, "shortFees": 489.4499999999934, "terminalShortLiability": 957.7743267539631, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 39605.163464038844, "longOnlyInterest": 36672.69815150107, "minCash": 13833.950382443785, "minLongOnlyCash": 13514.888519538747, "cycles": 377, "rolls": 17, "theta": { "longOnly": -38691.72101450221, "short": 133431.50573312558, "combined": 94739.7847186232, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 223249.2491617691, "cagr": 0.13309636488057186, "maxDrawdown": -0.24716401381047304 }, "longOnly": { "terminal": 186016.070154738, "cagr": 0.12356970872334383, "maxDrawdown": -0.3466199595219136 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 37233.17900703111, "netShort": 28127.853815860934, "financingDifference": 9105.325191169766, "grossPremium": 100473.75209726876, "shortSettlements": 70877.41652778503, "shortFees": 489.4499999999934, "terminalShortLiability": 979.0317536228088, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 44592.29549156761, "longOnlyInterest": 35486.97030039784, "minCash": 13731.702579791194, "minLongOnlyCash": 13216.82902666747, "cycles": 377, "rolls": 17, "theta": { "longOnly": -40339.13405091842, "short": 145475.25865898648, "combined": 105136.12460806819, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 235617.23065995603, "cagr": 0.13592713488925656, "maxDrawdown": -0.22899621240478152 }, "longOnly": { "terminal": 184452.30072941413, "cagr": 0.1231308573392873, "maxDrawdown": -0.3517107695720584 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 51164.9299305419, "netShort": 39144.02959120652, "financingDifference": 12020.900339335123, "grossPremium": 104918.06381658313, "shortSettlements": 64293.90845969276, "shortFees": 489.4499999999934, "terminalShortLiability": 990.6757656838636, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 46922.873000660904, "longOnlyInterest": 34901.97266132578, "minCash": 13681.449443783866, "minLongOnlyCash": 13077.343655058694, "cycles": 377, "rolls": 17, "theta": { "longOnly": -41189.086514599636, "short": 151575.43018218895, "combined": 110386.34366758882, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 257284.6950449854, "cagr": 0.14056096876860957, "maxDrawdown": -0.20170117552468325 }, "longOnly": { "terminal": 181311.61025503132, "cagr": 0.12223863955378556, "maxDrawdown": -0.36206421851937853 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 75973.08478995407, "netShort": 58730.10114603761, "financingDifference": 17242.983643916028, "grossPremium": 113774.35006014965, "shortSettlements": 53539.32993588776, "shortFees": 489.4499999999934, "terminalShortLiability": 1015.4689782242826, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 50987.065029799385, "longOnlyInterest": 33744.08138588336, "minCash": 13582.64565804849, "minLongOnlyCash": 12815.26578651087, "cycles": 377, "rolls": 17, "theta": { "longOnly": -42940.23748944141, "short": 163149.7140252058, "combined": 120209.47653576467, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 284878.0910052648, "cagr": 0.14595075580344585, "maxDrawdown": -0.17168775802300218 }, "longOnly": { "terminal": 176533.4087197959, "cagr": 0.12085255317217047, "maxDrawdown": -0.3781908524345774 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 108344.68228546888, "netShort": 84310.16439583972, "financingDifference": 24034.517889628776, "grossPremium": 126985.57824907415, "shortSettlements": 41130.632088905186, "shortFees": 489.4499999999934, "terminalShortLiability": 1055.3317643292587, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 56062.96082184304, "longOnlyInterest": 32028.44293221426, "minCash": 13438.582640017272, "minLongOnlyCash": 12458.913682254872, "cycles": 377, "rolls": 17, "theta": { "longOnly": -45692.227368516134, "short": 178594.01589619383, "combined": 132901.78852767762, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 190072.1014739942, "cagr": 0.12469178756296828, "maxDrawdown": -0.2939495511791852 }, "longOnly": { "terminal": 189144.77417713305, "cagr": 0.12443727527728399, "maxDrawdown": -0.3365390352706338 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 927.3272968611564, "netShort": -590.6182102838056, "financingDifference": 1517.9455071447592, "grossPremium": 121590.85525703672, "shortSettlements": 120261.22113707325, "shortFees": 489.4499999999934, "terminalShortLiability": 1430.8023302472748, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 38190.64365864583, "longOnlyInterest": 36672.69815150107, "minCash": 13844.02125394773, "minLongOnlyCash": 13514.888519538747, "cycles": 377, "rolls": 17, "theta": { "longOnly": -38691.72101450221, "short": 154722.61583750468, "combined": 116030.89482300231, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 221596.51668493694, "cagr": 0.1327068129173754, "maxDrawdown": -0.24242117586184886 }, "longOnly": { "terminal": 186016.070154738, "cagr": 0.12356970872334383, "maxDrawdown": -0.3466199595219136 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 35580.44653019894, "netShort": 26763.00748614692, "financingDifference": 8817.439044051665, "grossPremium": 133843.65699958376, "shortSettlements": 105119.20069978478, "shortFees": 489.4499999999934, "terminalShortLiability": 1471.9988136520726, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 44304.40934444951, "longOnlyInterest": 35486.97030039784, "minCash": 13742.76329670545, "minLongOnlyCash": 13216.82902666747, "cycles": 377, "rolls": 17, "theta": { "longOnly": -40339.13405091842, "short": 170684.3610903679, "combined": 130345.22703944925, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 236705.4421915658, "cagr": 0.13616937730784318, "maxDrawdown": -0.2211799228698037 }, "longOnly": { "terminal": 184452.30072941413, "cagr": 0.1231308573392873, "maxDrawdown": -0.3517107695720584 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 52253.14146215166, "netShort": 39913.622051381906, "financingDifference": 12339.519410769557, "grossPremium": 139866.70225595465, "shortSettlements": 97969.9032106812, "shortFees": 489.4499999999934, "terminalShortLiability": 1493.7269938915563, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 47241.49207209534, "longOnlyInterest": 34901.97266132578, "minCash": 13693.00392564319, "minLongOnlyCash": 13077.343655058694, "cycles": 377, "rolls": 17, "theta": { "longOnly": -41189.086514599636, "short": 178526.42650005769, "combined": 137337.3399854578, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 266344.9324453653, "cagr": 0.14238908224722047, "maxDrawdown": -0.1850890700587684 }, "longOnly": { "terminal": 181311.61025503132, "cagr": 0.12223863955378556, "maxDrawdown": -0.36206421851937853 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 85033.32219033397, "netShort": 65941.9633388093, "financingDifference": 19091.35885152434, "grossPremium": 151703.05833557597, "shortSettlements": 83732.80686919697, "shortFees": 489.4499999999934, "terminalShortLiability": 1538.8381275696986, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 52835.440237407696, "longOnlyInterest": 33744.08138588336, "minCash": 13595.185361909871, "minLongOnlyCash": 12815.26578651087, "cycles": 377, "rolls": 17, "theta": { "longOnly": -42940.23748944141, "short": 194525.68611779407, "combined": 151585.4486283523, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 306158.64972181246, "cagr": 0.14977745668090758, "maxDrawdown": -0.15155276920199 }, "longOnly": { "terminal": 176533.4087197959, "cagr": 0.12085255317217047, "maxDrawdown": -0.3781908524345774 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 129625.24100201656, "netShort": 101329.03599095324, "financingDifference": 28296.205011063008, "grossPremium": 169284.6811914824, "shortSettlements": 65856.81956040088, "shortFees": 489.4499999999934, "terminalShortLiability": 1609.375640128286, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 60324.64794327727, "longOnlyInterest": 32028.44293221426, "minCash": 13452.594429951165, "minLongOnlyCash": 12458.913682254872, "cycles": 377, "rolls": 17, "theta": { "longOnly": -45692.227368516134, "short": 217061.07768417377, "combined": 171368.850315657, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 184204.96395959848, "cagr": 0.12306112071080899, "maxDrawdown": -0.29609850480524047 }, "longOnly": { "terminal": 189144.77417713305, "cagr": 0.12443727527728399, "maxDrawdown": -0.3365390352706338 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": -4939.81021753457, "netShort": -4528.023269748034, "financingDifference": -411.7869477865097, "grossPremium": 154199.17370445802, "shortSettlements": 156251.62209909427, "shortFees": 489.4499999999934, "terminalShortLiability": 1986.1248751117955, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 36260.91120371456, "longOnlyInterest": 36672.69815150107, "minCash": 13855.074695495847, "minLongOnlyCash": 13514.888519538747, "cycles": 377, "rolls": 17, "theta": { "longOnly": -38691.72101450221, "short": 170492.76844519944, "combined": 131801.04743069687, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 218959.69844025353, "cagr": 0.13207953586821963, "maxDrawdown": -0.23581804239569548 }, "longOnly": { "terminal": 186016.070154738, "cagr": 0.12356970872334383, "maxDrawdown": -0.3466199595219136 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 32943.62828551553, "netShort": 25195.272407664335, "financingDifference": 7748.355877850961, "grossPremium": 170258.4334661924, "shortSettlements": 142519.17018377857, "shortFees": 489.4499999999934, "terminalShortLiability": 2054.5408747495003, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 43235.326178248804, "longOnlyInterest": 35486.97030039784, "minCash": 13754.901920102497, "minLongOnlyCash": 13216.82902666747, "cycles": 377, "rolls": 17, "theta": { "longOnly": -40339.13405091842, "short": 191039.33781983925, "combined": 150700.20376892085, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 235905.17973826028, "cagr": 0.13599133773415306, "maxDrawdown": -0.21161339743255025 }, "longOnly": { "terminal": 184452.30072941413, "cagr": 0.1231308573392873, "maxDrawdown": -0.3517107695720584 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 51452.879008846154, "netShort": 39691.44920383217, "financingDifference": 11761.429805013904, "grossPremium": 177993.00525205416, "shortSettlements": 135722.20343948086, "shortFees": 489.4499999999934, "terminalShortLiability": 2089.902608741147, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 46663.402466339685, "longOnlyInterest": 34901.97266132578, "minCash": 13705.683787166565, "minLongOnlyCash": 13077.343655058694, "cycles": 377, "rolls": 17, "theta": { "longOnly": -41189.086514599636, "short": 201177.56073698046, "combined": 159988.4742223806, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 268471.14192945365, "cagr": 0.142809495065517, "maxDrawdown": -0.1746233122081946 }, "longOnly": { "terminal": 181311.61025503132, "cagr": 0.12223863955378556, "maxDrawdown": -0.36206421851937853 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 87159.53167442232, "netShort": 67758.79567948855, "financingDifference": 19400.73599493332, "grossPremium": 193208.1520702804, "shortSettlements": 122797.62612428935, "shortFees": 489.4499999999934, "terminalShortLiability": 2162.280266502489, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 53144.817380816676, "longOnlyInterest": 33744.08138588336, "minCash": 13608.945003468607, "minLongOnlyCash": 12815.26578651087, "cycles": 377, "rolls": 17, "theta": { "longOnly": -42940.23748944141, "short": 220943.1903828363, "combined": 178002.9528933947, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 316151.8313413899, "cagr": 0.15148766374478573, "maxDrawdown": -0.13778869581039477 }, "longOnly": { "terminal": 176533.4087197959, "cagr": 0.12085255317217047, "maxDrawdown": -0.3781908524345774 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 139618.422621594, "netShort": 109158.8082377584, "financingDifference": 30459.614383835193, "grossPremium": 215589.60192650085, "shortSettlements": 103667.73862086152, "shortFees": 489.4499999999934, "terminalShortLiability": 2273.6050678809306, "fees": 512.1999999999927, "longOnlyFees": 22.74999999999999, "interest": 62488.05731604945, "longOnlyInterest": 32028.44293221426, "minCash": 13467.967029019715, "minLongOnlyCash": 12458.913682254872, "cycles": 377, "rolls": 17, "theta": { "longOnly": -45692.227368516134, "short": 249386.92393043905, "combined": 203694.6965619219, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 183344.743536067, "cagr": 0.12281788410400818, "maxDrawdown": -0.26399890106125334 }, "longOnly": { "terminal": 189144.77417713305, "cagr": 0.12443727527728399, "maxDrawdown": -0.3365390352706338 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": -5800.030641066056, "netShort": -7607.719565387437, "financingDifference": 1807.688924321279, "grossPremium": 53506.83493450626, "shortSettlements": 58558.1817116551, "shortFees": 365.9499999999977, "terminalShortLiability": 2190.4227882385953, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 38480.38707582235, "longOnlyInterest": 36672.69815150107, "minCash": 13733.909440712201, "minLongOnlyCash": 13514.888519538747, "cycles": 282, "rolls": 17, "theta": { "longOnly": -38691.72101450221, "short": 92598.42026828877, "combined": 53906.69925378643, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 198226.19358583773, "cagr": 0.126880092203685, "maxDrawdown": -0.24469005268454347 }, "longOnly": { "terminal": 186016.070154738, "cagr": 0.12356970872334383, "maxDrawdown": -0.3466199595219136 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 12210.123431099724, "netShort": 6631.70610908063, "financingDifference": 5578.417322018824, "grossPremium": 59068.62352495436, "shortSettlements": 50148.27002818907, "shortFees": 365.9499999999977, "terminalShortLiability": 1922.6973876846614, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 41065.38762241667, "longOnlyInterest": 35486.97030039784, "minCash": 13726.102667275169, "minLongOnlyCash": 13216.82902666747, "cycles": 282, "rolls": 17, "theta": { "longOnly": -40339.13405091842, "short": 100838.20695546773, "combined": 60499.07290454942, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 205223.6147389171, "cagr": 0.1286905838332273, "maxDrawdown": -0.236712310382021 }, "longOnly": { "terminal": 184452.30072941413, "cagr": 0.1231308573392873, "maxDrawdown": -0.3517107695720584 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 20771.314009502967, "netShort": 13337.873173545833, "financingDifference": 7433.440835956921, "grossPremium": 61840.25203882859, "shortSettlements": 46324.06539853559, "shortFees": 365.9499999999977, "terminalShortLiability": 1812.363466747172, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 42335.4134972827, "longOnlyInterest": 34901.97266132578, "minCash": 13675.596475575101, "minLongOnlyCash": 13077.343655058694, "cycles": 282, "rolls": 17, "theta": { "longOnly": -41189.086514599636, "short": 105033.03713468272, "combined": 63843.950620083095, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 220766.54029197243, "cagr": 0.13251013965457314, "maxDrawdown": -0.22269532594661634 }, "longOnly": { "terminal": 181311.61025503132, "cagr": 0.12223863955378556, "maxDrawdown": -0.36206421851937853 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 39454.93003694111, "netShort": 28429.309272024297, "financingDifference": 11025.620764916544, "grossPremium": 67129.49196347619, "shortSettlements": 36706.3459150672, "shortFees": 365.9499999999977, "terminalShortLiability": 1627.886776384696, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 44769.7021507999, "longOnlyInterest": 33744.08138588336, "minCash": 13576.286970711788, "minLongOnlyCash": 12815.26578651087, "cycles": 282, "rolls": 17, "theta": { "longOnly": -42940.23748944141, "short": 112323.22061385539, "combined": 69382.98312441379, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 240022.41883135046, "cagr": 0.13690125738596226, "maxDrawdown": -0.20613260308014036 }, "longOnly": { "terminal": 176533.4087197959, "cagr": 0.12085255317217047, "maxDrawdown": -0.3781908524345774 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 63489.010111554555, "netShort": 47746.455051450685, "financingDifference": 15742.555060103521, "grossPremium": 74920.89086083772, "shortSettlements": 25389.841871394245, "shortFees": 365.9499999999977, "terminalShortLiability": 1418.6439379927947, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 47770.99799231778, "longOnlyInterest": 32028.44293221426, "minCash": 13431.466357283818, "minLongOnlyCash": 12458.913682254872, "cycles": 282, "rolls": 17, "theta": { "longOnly": -45692.227368516134, "short": 122165.66757586147, "combined": 76473.44020734545, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 183031.51384479564, "cagr": 0.1227290446330751, "maxDrawdown": -0.2505906449599693 }, "longOnly": { "terminal": 189144.77417713305, "cagr": 0.12443727527728399, "maxDrawdown": -0.3365390352706338 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": -6113.260332337406, "netShort": -8483.210238341151, "financingDifference": 2369.9499060036323, "grossPremium": 76505.91667859818, "shortSettlements": 81235.08999604978, "shortFees": 365.9499999999977, "terminalShortLiability": 3388.0869208895547, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 39042.6480575047, "longOnlyInterest": 36672.69815150107, "minCash": 13839.728649757717, "minLongOnlyCash": 13514.888519538747, "cycles": 282, "rolls": 17, "theta": { "longOnly": -38691.72101450221, "short": 115757.72396313325, "combined": 77066.00294863095, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 202767.8089557738, "cagr": 0.1280619752842138, "maxDrawdown": -0.21967744602599681 }, "longOnly": { "terminal": 186016.070154738, "cagr": 0.12356970872334383, "maxDrawdown": -0.3466199595219136 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 16751.738801035797, "netShort": 9759.826523325026, "financingDifference": 6991.912277710544, "grossPremium": 84287.94863064756, "shortSettlements": 71090.0934197478, "shortFees": 365.9499999999977, "terminalShortLiability": 3072.078687574731, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 42478.88257810839, "longOnlyInterest": 35486.97030039784, "minCash": 13738.040808910773, "minLongOnlyCash": 13216.82902666747, "cycles": 282, "rolls": 17, "theta": { "longOnly": -40339.13405091842, "short": 126997.66459233842, "combined": 86658.53054141997, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 211738.19262046018, "cagr": 0.13032398335201334, "maxDrawdown": -0.20691216627338915 }, "longOnly": { "terminal": 184452.30072941413, "cagr": 0.1231308573392873, "maxDrawdown": -0.3517107695720584 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 27285.89189104605, "netShort": 18132.528681324453, "financingDifference": 9153.363209721356, "grossPremium": 88213.59415988502, "shortSettlements": 66776.6731550528, "shortFees": 365.9499999999977, "terminalShortLiability": 2938.4423235077634, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 44055.33587104714, "longOnlyInterest": 34901.97266132578, "minCash": 13688.066462039493, "minLongOnlyCash": 13077.343655058694, "cycles": 282, "rolls": 17, "theta": { "longOnly": -41189.086514599636, "short": 132246.3842161757, "combined": 91057.29770157581, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 228372.63032402372, "cagr": 0.1342867111290149, "maxDrawdown": -0.18970855519510021 }, "longOnly": { "terminal": 181311.61025503132, "cagr": 0.12223863955378556, "maxDrawdown": -0.36206421851937853 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 47061.020068992395, "netShort": 33748.606007403076, "financingDifference": 13312.414061589137, "grossPremium": 96112.19811897118, "shortSettlements": 59287.38387255558, "shortFees": 365.9499999999977, "terminalShortLiability": 2710.2582390125235, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 47056.495447472495, "longOnlyInterest": 33744.08138588336, "minCash": 13589.817882258549, "minLongOnlyCash": 12815.26578651087, "cycles": 282, "rolls": 17, "theta": { "longOnly": -42940.23748944141, "short": 141320.71244230316, "combined": 98380.47495286203, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 254330.92692919573, "cagr": 0.13995168722191798, "maxDrawdown": -0.16910107998989443 }, "longOnly": { "terminal": 176533.4087197959, "cagr": 0.12085255317217047, "maxDrawdown": -0.3781908524345774 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 77797.51820939983, "netShort": 58399.126562647536, "financingDifference": 19398.391646752018, "grossPremium": 107353.66030625644, "shortSettlements": 46144.90772285566, "shortFees": 365.9499999999977, "terminalShortLiability": 2443.6760207532416, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 51426.83457896628, "longOnlyInterest": 32028.44293221426, "minCash": 13446.58177580775, "minLongOnlyCash": 12458.913682254872, "cycles": 282, "rolls": 17, "theta": { "longOnly": -45692.227368516134, "short": 156366.67037870418, "combined": 110674.44301018756, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 179037.82585699114, "cagr": 0.12158344884854788, "maxDrawdown": -0.24486145531945136 }, "longOnly": { "terminal": 189144.77417713305, "cagr": 0.12443727527728399, "maxDrawdown": -0.3365390352706338 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": -10106.948320141906, "netShort": -11940.610311645707, "financingDifference": 1833.6619915037227, "grossPremium": 101730.7644475522, "shortSettlements": 108633.42613063929, "shortFees": 365.9499999999977, "terminalShortLiability": 4671.998628558617, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 38506.36014300479, "longOnlyInterest": 36672.69815150107, "minCash": 13851.729875548157, "minLongOnlyCash": 13514.888519538747, "cycles": 282, "rolls": 17, "theta": { "longOnly": -38691.72101450221, "short": 134241.11237963533, "combined": 95549.39136513308, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 204768.587156245, "cagr": 0.1285746545848443, "maxDrawdown": -0.20235445028301735 }, "longOnly": { "terminal": 186016.070154738, "cagr": 0.12356970872334383, "maxDrawdown": -0.3466199595219136 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 18752.51700150699, "netShort": 10731.248939007322, "financingDifference": 8021.268062499461, "grossPremium": 112085.10791752707, "shortSettlements": 96644.23351038725, "shortFees": 365.9499999999977, "terminalShortLiability": 4343.675468132506, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 43508.238362897304, "longOnlyInterest": 35486.97030039784, "minCash": 13751.217656322835, "minLongOnlyCash": 13216.82902666747, "cycles": 282, "rolls": 17, "theta": { "longOnly": -40339.13405091842, "short": 149516.80111607243, "combined": 109177.66706515322, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 216330.29461736584, "cagr": 0.13144680714093382, "maxDrawdown": -0.18755119301264356 }, "longOnly": { "terminal": 184452.30072941413, "cagr": 0.1231308573392873, "maxDrawdown": -0.3517107695720584 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 31877.993887951714, "netShort": 21075.406448336504, "financingDifference": 10802.587439615032, "grossPremium": 117220.57699018986, "shortSettlements": 91576.98239585062, "shortFees": 365.9499999999977, "terminalShortLiability": 4202.238146002742, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 45704.56010094081, "longOnlyInterest": 34901.97266132578, "minCash": 13701.829479938053, "minLongOnlyCash": 13077.343655058694, "cycles": 282, "rolls": 17, "theta": { "longOnly": -41189.086514599636, "short": 156976.32540055676, "combined": 115787.23888595708, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 237808.80147735347, "cagr": 0.13641390970896627, "maxDrawdown": -0.16310187391579656 }, "longOnly": { "terminal": 181311.61025503132, "cagr": 0.12223863955378556, "maxDrawdown": -0.36206421851937853 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 56497.191222322144, "netShort": 40620.40785525675, "financingDifference": 15876.783367065247, "grossPremium": 127549.26635250982, "shortSettlements": 82605.8852017798, "shortFees": 365.9499999999977, "terminalShortLiability": 3957.023295473266, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 49620.864752948604, "longOnlyInterest": 33744.08138588336, "minCash": 13604.749973381993, "minLongOnlyCash": 12815.26578651087, "cycles": 282, "rolls": 17, "theta": { "longOnly": -42940.23748944141, "short": 170518.97762865596, "combined": 127578.7401392145, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 268142.80113898515, "cagr": 0.14274478041631178, "maxDrawdown": -0.13283124569141502 }, "longOnly": { "terminal": 176533.4087197959, "cagr": 0.12085255317217047, "maxDrawdown": -0.3781908524345774 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 91609.39241918924, "netShort": 68625.71271332384, "financingDifference": 22983.679705865077, "grossPremium": 142931.829610368, "shortSettlements": 70275.56724140757, "shortFees": 365.9499999999977, "terminalShortLiability": 3664.599655636607, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 55012.12263807934, "longOnlyInterest": 32028.44293221426, "minCash": 13463.259345884724, "minLongOnlyCash": 12458.913682254872, "cycles": 282, "rolls": 17, "theta": { "longOnly": -45692.227368516134, "short": 188880.3325633146, "combined": 143188.105194798, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 171453.0076361212, "cagr": 0.11933899270253501, "maxDrawdown": -0.25312936811062847 }, "longOnly": { "terminal": 189144.77417713305, "cagr": 0.12443727527728399, "maxDrawdown": -0.3365390352706338 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": -17691.766541011835, "netShort": -17635.50800078955, "financingDifference": -56.258540222479496, "grossPremium": 129331.6343894706, "shortSettlements": 140594.51212605054, "shortFees": 365.9499999999977, "terminalShortLiability": 6006.680264209604, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 36616.43961127859, "longOnlyInterest": 36672.69815150107, "minCash": 13864.899528705273, "minLongOnlyCash": 13514.888519538747, "cycles": 282, "rolls": 17, "theta": { "longOnly": -38691.72101450221, "short": 149626.01354283563, "combined": 110934.29252833278, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 200191.88250122228, "cagr": 0.12739476861097976, "maxDrawdown": -0.201163704222304 }, "longOnly": { "terminal": 186016.070154738, "cagr": 0.12356970872334383, "maxDrawdown": -0.3466199595219136 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 14175.81234648428, "netShort": 7182.9805847820435, "financingDifference": 6992.8317617020875, "grossPremium": 142406.95129587853, "shortSettlements": 129159.66649639409, "shortFees": 365.9499999999977, "terminalShortLiability": 5698.354214702408, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 42479.80206209993, "longOnlyInterest": 35486.97030039784, "minCash": 13765.675631148153, "minLongOnlyCash": 13216.82902666747, "cycles": 282, "rolls": 17, "theta": { "longOnly": -40339.13405091842, "short": 167896.90786904324, "combined": 127557.7738181247, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 214354.7732736623, "cagr": 0.1309665818427812, "maxDrawdown": -0.1795310571109321 }, "longOnly": { "terminal": 184452.30072941413, "cagr": 0.1231308573392873, "maxDrawdown": -0.3517107695720584 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 29902.472544248158, "netShort": 19452.597029174918, "financingDifference": 10449.875515072963, "grossPremium": 148955.81820228405, "shortSettlements": 123573.4604152888, "shortFees": 365.9499999999977, "terminalShortLiability": 5563.810757820329, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 45351.848176398744, "longOnlyInterest": 34901.97266132578, "minCash": 13716.929699741177, "minLongOnlyCash": 13077.343655058694, "cycles": 282, "rolls": 17, "theta": { "longOnly": -41189.086514599636, "short": 177102.93444004975, "combined": 135913.84792545027, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 241817.94414289523, "cagr": 0.13729341993869038, "maxDrawdown": -0.14525929784254066 }, "longOnly": { "terminal": 181311.61025503132, "cagr": 0.12223863955378556, "maxDrawdown": -0.36206421851937853 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 60506.333887863904, "netShort": 43412.388111917375, "financingDifference": 17093.945775946246, "grossPremium": 161957.85747120582, "shortSettlements": 112851.28625265624, "shortFees": 365.9499999999977, "terminalShortLiability": 5328.233106632206, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 50838.0271618296, "longOnlyInterest": 33744.08138588336, "minCash": 13621.130867274498, "minLongOnlyCash": 12815.26578651087, "cycles": 282, "rolls": 17, "theta": { "longOnly": -42940.23748944141, "short": 193802.49474061988, "combined": 150862.25725117867, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 279556.91356862127, "cagr": 0.14495130531348233, "maxDrawdown": -0.10886300831210705 }, "longOnly": { "terminal": 176533.4087197959, "cagr": 0.12085255317217047, "maxDrawdown": -0.3781908524345774 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 103023.50484882537, "netShort": 76863.21113241327, "financingDifference": 26160.293716411783, "grossPremium": 181449.38934865774, "shortSettlements": 99176.2535618127, "shortFees": 365.9499999999977, "terminalShortLiability": 5043.974654431781, "fees": 388.6999999999969, "longOnlyFees": 22.74999999999999, "interest": 58188.73664862604, "longOnlyInterest": 32028.44293221426, "minCash": 13481.551758509015, "minLongOnlyCash": 12458.913682254872, "cycles": 282, "rolls": 17, "theta": { "longOnly": -45692.227368516134, "short": 218439.37997873875, "combined": 172747.15261022185, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 183410.04222934254, "cagr": 0.12283638614856418, "maxDrawdown": -0.27610048666353926 }, "longOnly": { "terminal": 189144.77417713305, "cagr": 0.12443727527728399, "maxDrawdown": -0.3365390352706338 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": -5734.731947790511, "netShort": -8328.079718171452, "financingDifference": 2593.347770380831, "grossPremium": 42458.670153051855, "shortSettlements": 47654.42371264411, "shortFees": 232.05000000000138, "terminalShortLiability": 2900.2761585791973, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 39266.0459218819, "longOnlyInterest": 36672.69815150107, "minCash": 13834.368830335441, "minLongOnlyCash": 13514.888519538747, "cycles": 179, "rolls": 17, "theta": { "longOnly": -38691.72101450221, "short": 80549.69334500672, "combined": 41857.9723305044, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 195911.08980911365, "cagr": 0.12626764914009336, "maxDrawdown": -0.26157646830045356 }, "longOnly": { "terminal": 186016.070154738, "cagr": 0.12356970872334383, "maxDrawdown": -0.3466199595219136 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 9895.019654375646, "netShort": 4160.208575873249, "financingDifference": 5734.8110785023455, "grossPremium": 46543.00673862883, "shortSettlements": 39330.55967221003, "shortFees": 232.05000000000138, "terminalShortLiability": 2820.188490545547, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 41221.78137890019, "longOnlyInterest": 35486.97030039784, "minCash": 13732.146317328928, "minLongOnlyCash": 13216.82902666747, "cycles": 179, "rolls": 17, "theta": { "longOnly": -40339.13405091842, "short": 86443.72855141149, "combined": 46104.59450049316, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 201624.48647065388, "cagr": 0.12776683989493942, "maxDrawdown": -0.25562557122749796 }, "longOnly": { "terminal": 184452.30072941413, "cagr": 0.1231308573392873, "maxDrawdown": -0.3517107695720584 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 17172.18574123975, "netShort": 10014.915448278474, "financingDifference": 7157.270292961082, "grossPremium": 48574.649654850284, "shortSettlements": 35537.698621801035, "shortFees": 232.05000000000138, "terminalShortLiability": 2789.9855847707727, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 42059.24295428686, "longOnlyInterest": 34901.97266132578, "minCash": 13681.904732349207, "minLongOnlyCash": 13077.343655058694, "cycles": 179, "rolls": 17, "theta": { "longOnly": -41189.086514599636, "short": 89803.60534691357, "combined": 48614.51883231354, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 211427.91171046864, "cagr": 0.130247280663768, "maxDrawdown": -0.24571599093702878 }, "longOnly": { "terminal": 181311.61025503132, "cagr": 0.12223863955378556, "maxDrawdown": -0.36206421851937853 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 30116.301455437322, "netShort": 20545.124393721166, "financingDifference": 9571.177061716066, "grossPremium": 52617.084813053, "shortSettlements": 29095.125582934037, "shortFees": 232.05000000000138, "terminalShortLiability": 2744.784836397793, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 43315.25844759942, "longOnlyInterest": 33744.08138588336, "minCash": 13583.121875922923, "minLongOnlyCash": 12815.26578651087, "cycles": 179, "rolls": 17, "theta": { "longOnly": -42940.23748944141, "short": 95464.74251656407, "combined": 52524.505027122694, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 224149.03205541187, "cagr": 0.13330729052710222, "maxDrawdown": -0.23452960419248448 }, "longOnly": { "terminal": 176533.4087197959, "cagr": 0.12085255317217047, "maxDrawdown": -0.3781908524345774 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 47615.623335615965, "netShort": 34983.78749402371, "financingDifference": 12631.835841592037, "grossPremium": 58629.20036093882, "shortSettlements": 20707.69468909524, "shortFees": 232.05000000000138, "terminalShortLiability": 2705.6681778198654, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 44660.2787738063, "longOnlyInterest": 32028.44293221426, "minCash": 13439.084864188866, "minLongOnlyCash": 12458.913682254872, "cycles": 179, "rolls": 17, "theta": { "longOnly": -45692.227368516134, "short": 103963.65421341923, "combined": 58271.42684490314, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 179800.83578930766, "cagr": 0.12180419038478085, "maxDrawdown": -0.2689436813768372 }, "longOnly": { "terminal": 189144.77417713305, "cagr": 0.12443727527728399, "maxDrawdown": -0.3365390352706338 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": -9343.938387825387, "netShort": -11982.235791088453, "financingDifference": 2638.2974032630445, "grossPremium": 60866.424372711386, "shortSettlements": 68574.81891728623, "shortFees": 232.05000000000138, "terminalShortLiability": 4041.7912465136055, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 39310.995554764115, "longOnlyInterest": 36672.69815150107, "minCash": 13847.633331393921, "minLongOnlyCash": 13514.888519538747, "cycles": 179, "rolls": 17, "theta": { "longOnly": -38691.72101450221, "short": 96467.59245818881, "combined": 57775.871443686505, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 197911.39135698418, "cagr": 0.1267972156479653, "maxDrawdown": -0.24161420342120143 }, "longOnly": { "terminal": 186016.070154738, "cagr": 0.12356970872334383, "maxDrawdown": -0.3466199595219136 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 11895.321202246181, "netShort": 5197.657816770405, "financingDifference": 6697.663385475651, "grossPremium": 66720.31674186359, "shortSettlements": 57315.23463648559, "shortFees": 232.05000000000138, "terminalShortLiability": 3975.3742886075884, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 42184.633685873494, "longOnlyInterest": 35486.97030039784, "minCash": 13746.70642618727, "minLongOnlyCash": 13216.82902666747, "cycles": 179, "rolls": 17, "theta": { "longOnly": -40339.13405091842, "short": 106482.63274040668, "combined": 66143.49868948833, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 205889.4695036216, "cagr": 0.12885978531512077, "maxDrawdown": -0.23106639000907903 }, "longOnly": { "terminal": 184452.30072941413, "cagr": 0.1231308573392873, "maxDrawdown": -0.3517107695720584 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 21437.168774207472, "netShort": 12855.593970827613, "financingDifference": 8581.57480337967, "grossPremium": 69625.50863459405, "shortSettlements": 52585.16663485908, "shortFees": 232.05000000000138, "terminalShortLiability": 3952.698028907355, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 43483.54746470545, "longOnlyInterest": 34901.97266132578, "minCash": 13697.1105861382, "minLongOnlyCash": 13077.343655058694, "cycles": 179, "rolls": 17, "theta": { "longOnly": -41189.086514599636, "short": 111171.65906609851, "combined": 69982.57255149884, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 219322.16342320197, "cagr": 0.13216618901442012, "maxDrawdown": -0.21681221706806442 }, "longOnly": { "terminal": 181311.61025503132, "cagr": 0.12223863955378556, "maxDrawdown": -0.36206421851937853 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 38010.55316817065, "netShort": 26023.40486765627, "financingDifference": 11987.148300514295, "grossPremium": 75404.2918473964, "shortSettlements": 45225.04611668218, "shortFees": 232.05000000000138, "terminalShortLiability": 3923.7908630579454, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 45731.22968639765, "longOnlyInterest": 33744.08138588336, "minCash": 13599.615120342109, "minLongOnlyCash": 12815.26578651087, "cycles": 179, "rolls": 17, "theta": { "longOnly": -42940.23748944141, "short": 119137.54763950489, "combined": 76197.31015006365, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 237693.56017635134, "cagr": 0.1363884199768992, "maxDrawdown": -0.199661072604974 }, "longOnly": { "terminal": 176533.4087197959, "cagr": 0.12085255317217047, "maxDrawdown": -0.3781908524345774 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 61160.15145655544, "netShort": 44519.104880610816, "financingDifference": 16641.046575944427, "grossPremium": 83994.402964767, "shortSettlements": 35331.50944269795, "shortFees": 232.05000000000138, "terminalShortLiability": 3911.7386414582256, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 48669.48950815869, "longOnlyInterest": 32028.44293221426, "minCash": 13457.499002234828, "minLongOnlyCash": 12458.913682254872, "cycles": 179, "rolls": 17, "theta": { "longOnly": -45692.227368516134, "short": 131411.4662432701, "combined": 85719.23887475405, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 174853.49375504558, "cagr": 0.12035672001724484, "maxDrawdown": -0.26528431201620084 }, "longOnly": { "terminal": 189144.77417713305, "cagr": 0.12443727527728399, "maxDrawdown": -0.3365390352706338 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": -14291.280422087468, "netShort": -16655.666560379555, "financingDifference": 2364.3861382920877, "grossPremium": 81137.52686232215, "shortSettlements": 92329.27778671295, "shortFees": 232.05000000000138, "terminalShortLiability": 5231.865635988754, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 39037.08428979316, "longOnlyInterest": 36672.69815150107, "minCash": 13862.27212489799, "minLongOnlyCash": 13514.888519538747, "cycles": 179, "rolls": 17, "theta": { "longOnly": -38691.72101450221, "short": 109260.22438316674, "combined": 70568.50336866442, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 195275.31597959378, "cagr": 0.1260982518961722, "maxDrawdown": -0.23437920988774807 }, "longOnly": { "terminal": 186016.070154738, "cagr": 0.12356970872334383, "maxDrawdown": -0.3466199595219136 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 9259.245824855781, "netShort": 2208.5610495685833, "financingDifference": 7050.684775287067, "grossPremium": 88942.82635093133, "shortSettlements": 81308.7223003211, "shortFees": 232.05000000000138, "terminalShortLiability": 5193.493001041645, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 42537.65507568491, "longOnlyInterest": 35486.97030039784, "minCash": 13762.772612749695, "minLongOnlyCash": 13216.82902666747, "cycles": 179, "rolls": 17, "theta": { "longOnly": -40339.13405091842, "short": 121218.84889193546, "combined": 80879.71484101698, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 205113.41594324922, "cagr": 0.12866253054528043, "maxDrawdown": -0.22057072952431023 }, "longOnly": { "terminal": 184452.30072941413, "cagr": 0.1231308573392873, "maxDrawdown": -0.3517107695720584 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 20661.115213835088, "netShort": 11340.264725990977, "financingDifference": 9320.850487844, "grossPremium": 92812.28181678768, "shortSettlements": 76055.02921248035, "shortFees": 232.05000000000138, "terminalShortLiability": 5184.93787831635, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 44222.82314916978, "longOnlyInterest": 34901.97266132578, "minCash": 13713.888036453194, "minLongOnlyCash": 13077.343655058694, "cycles": 179, "rolls": 17, "theta": { "longOnly": -41189.086514599636, "short": 127323.33789812068, "combined": 86134.25138352063, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 224013.81498483985, "cagr": 0.1332756447749699, "maxDrawdown": -0.19587201199656668 }, "longOnly": { "terminal": 181311.61025503132, "cagr": 0.12223863955378556, "maxDrawdown": -0.36206421851937853 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 42702.20472980852, "netShort": 28978.335596421028, "financingDifference": 13723.869133387343, "grossPremium": 100496.35298032657, "shortSettlements": 66101.40787426649, "shortFees": 232.05000000000138, "terminalShortLiability": 5184.5595096390525, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 47467.9505192707, "longOnlyInterest": 33744.08138588336, "minCash": 13617.810255982908, "minLongOnlyCash": 12815.26578651087, "cycles": 179, "rolls": 17, "theta": { "longOnly": -42940.23748944141, "short": 139386.24620343413, "combined": 96446.00871399246, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 249544.60972194743, "cagr": 0.1389499243396184, "maxDrawdown": -0.16824085818916001 }, "longOnly": { "terminal": 176533.4087197959, "cagr": 0.12085255317217047, "maxDrawdown": -0.3781908524345774 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 73011.20100215153, "netShort": 53305.928469969615, "financingDifference": 19705.272532181647, "grossPremium": 111913.24863933989, "shortSettlements": 53159.230541616445, "shortFees": 232.05000000000138, "terminalShortLiability": 5216.039627753821, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 51733.71546439591, "longOnlyInterest": 32028.44293221426, "minCash": 13477.808630061816, "minLongOnlyCash": 12458.913682254872, "cycles": 179, "rolls": 17, "theta": { "longOnly": -45692.227368516134, "short": 156758.74412085325, "combined": 111066.51675233697, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 167247.94189773806, "cagr": 0.11805350199458231, "maxDrawdown": -0.2623859979682335 }, "longOnly": { "terminal": 189144.77417713305, "cagr": 0.12443727527728399, "maxDrawdown": -0.3365390352706338 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": -21896.832279394992, "netShort": -23315.682630485073, "financingDifference": 1418.85035109007, "grossPremium": 103331.40118382951, "shortSettlements": 119947.75388906567, "shortFees": 232.05000000000138, "terminalShortLiability": 6467.2799252489085, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 38091.54850259114, "longOnlyInterest": 36672.69815150107, "minCash": 13878.332043079448, "minLongOnlyCash": 13514.888519538747, "cycles": 179, "rolls": 17, "theta": { "longOnly": -38691.72101450221, "short": 119515.15995170025, "combined": 80823.4389371979, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 190303.391164987, "cagr": 0.12475508230923249, "maxDrawdown": -0.22699235529117856 }, "longOnly": { "terminal": 186016.070154738, "cagr": 0.12356970872334383, "maxDrawdown": -0.3466199595219136 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 4287.3210102489975, "netShort": -2458.0471125999125, "financingDifference": 6745.368122848849, "grossPremium": 113259.6298447423, "shortSettlements": 109015.60471406668, "shortFees": 232.05000000000138, "terminalShortLiability": 6470.022243275536, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 42232.33842324669, "longOnlyInterest": 35486.97030039784, "minCash": 13780.39588238393, "minLongOnlyCash": 13216.82902666747, "cycles": 179, "rolls": 17, "theta": { "longOnly": -40339.13405091842, "short": 133727.59521385308, "combined": 93388.46116293447, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 201814.71742715428, "cagr": 0.12781605631721948, "maxDrawdown": -0.21131366944450491 }, "longOnly": { "terminal": 184452.30072941413, "cagr": 0.1231308573392873, "maxDrawdown": -0.3517107695720584 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 17362.416697740147, "netShort": 7965.691995691779, "financingDifference": 9396.724702048246, "grossPremium": 118186.71301263009, "shortSettlements": 103507.30036746911, "shortFees": 232.05000000000138, "terminalShortLiability": 6481.670649469197, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 44298.69736337403, "longOnlyInterest": 34901.97266132578, "minCash": 13732.290142008274, "minLongOnlyCash": 13077.343655058694, "cycles": 179, "rolls": 17, "theta": { "longOnly": -41189.086514599636, "short": 140867.79046741835, "combined": 99678.7039528187, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 224436.25548921857, "cagr": 0.13337445097310785, "maxDrawdown": -0.18374439705214685 }, "longOnly": { "terminal": 181311.61025503132, "cagr": 0.12223863955378556, "maxDrawdown": -0.36206421851937853 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 43124.64523418725, "netShort": 28498.51737836957, "financingDifference": 14626.127855817474, "grossPremium": 127964.77211001505, "shortSettlements": 92712.98606613229, "shortFees": 232.05000000000138, "terminalShortLiability": 6521.218665513186, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 48370.20924170083, "longOnlyInterest": 33744.08138588336, "minCash": 13637.764382463049, "minLongOnlyCash": 12815.26578651087, "cycles": 179, "rolls": 17, "theta": { "longOnly": -42940.23748944141, "short": 154790.49462672757, "combined": 111850.2571372865, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2005, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2005-01-03", "end": "2026-08-14", "years": 21.609856262833677, "pmcc": { "terminal": 254984.51428830958, "cagr": 0.1400870837077659, "maxDrawdown": -0.1505488878339356 }, "longOnly": { "terminal": 176533.4087197959, "cagr": 0.12085255317217047, "maxDrawdown": -0.3781908524345774 }, "stock": { "terminal": 326215.11341901514, "cagr": 0.15315854006393104, "maxDrawdown": -0.5340402103475506 }, "contribution": 78451.10556851368, "netShort": 56604.269319964194, "financingDifference": 21846.83624854937, "grossPremium": 142463.46143823475, "shortSettlements": 79015.38985565724, "shortFees": 232.05000000000138, "terminalShortLiability": 6611.75226261331, "fees": 254.80000000000157, "longOnlyFees": 22.74999999999999, "interest": 53875.27918076363, "longOnlyInterest": 32028.44293221426, "minCash": 13500.076746111337, "minLongOnlyCash": 12458.913682254872, "cycles": 179, "rolls": 17, "theta": { "longOnly": -45692.227368516134, "short": 175933.82350112734, "combined": 130241.59613261162, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 167798.55184480688, "cagr": 0.15649786037090085, "maxDrawdown": -0.302948475865524 }, "longOnly": { "terminal": 160357.4070336105, "cagr": 0.15334355578986436, "maxDrawdown": -0.3493892872368509 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 7441.144811196369, "netShort": 4916.818215646289, "financingDifference": 2524.3265955500756, "grossPremium": 52110.23520878669, "shortSettlements": 46326.184268196186, "shortFees": 376.34999999999735, "terminalShortLiability": 490.8827249442169, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 30657.384278197125, "longOnlyInterest": 28133.05768264705, "minCash": 13700.137541852537, "minLongOnlyCash": 13677.357606027854, "cycles": 290, "rolls": 13, "theta": { "longOnly": -31585.803122064972, "short": 88897.12642224085, "combined": 57311.323300175834, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 182301.56239694718, "cagr": 0.16228496737439357, "maxDrawdown": -0.27567818369576624 }, "longOnly": { "terminal": 158152.83612791979, "cagr": 0.1523826006297564, "maxDrawdown": -0.3579894795127585 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 24148.726269027393, "netShort": 18707.666954872144, "financingDifference": 5441.059314155005, "grossPremium": 57258.87364087465, "shortSettlements": 37677.02591040124, "shortFees": 376.34999999999735, "terminalShortLiability": 497.8307756012697, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 32768.93094168084, "longOnlyInterest": 27327.871627525834, "minCash": 13587.781595894508, "minLongOnlyCash": 13562.693473626878, "cycles": 290, "rolls": 13, "theta": { "longOnly": -32953.70377552421, "short": 95144.12256467699, "combined": 62190.41878915281, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 188730.11023138283, "cagr": 0.1647128573241201, "maxDrawdown": -0.26411058843585156 }, "longOnly": { "terminal": 157047.92481075434, "cagr": 0.1518962328616804, "maxDrawdown": -0.3623345215198389 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 31682.18542062849, "netShort": 24950.01659908959, "financingDifference": 6732.168821538646, "grossPremium": 59785.43399013279, "shortSettlements": 33957.061597390384, "shortFees": 376.34999999999735, "terminalShortLiability": 502.00579365281897, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 33661.98769560051, "longOnlyInterest": 26929.818874061864, "minCash": 13532.661074433543, "minLongOnlyCash": 13506.421199131522, "cycles": 290, "rolls": 13, "theta": { "longOnly": -33659.60739781744, "short": 98020.32275269133, "combined": 64360.715354873675, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 201013.31119804183, "cagr": 0.16914320675441386, "maxDrawdown": -0.24298559406991804 }, "longOnly": { "terminal": 154825.1296487445, "cagr": 0.15090796710394416, "maxDrawdown": -0.3711612250204327 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 46188.181549297326, "netShort": 36995.848906210296, "financingDifference": 9192.332643086767, "grossPremium": 64819.41910527175, "shortSettlements": 26935.818560845757, "shortFees": 376.34999999999735, "terminalShortLiability": 511.401638215699, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 35333.87574556601, "longOnlyInterest": 26141.54310247924, "minCash": 13424.48217799173, "minLongOnlyCash": 13395.943462834199, "cycles": 290, "rolls": 13, "theta": { "longOnly": -35114.0502912568, "short": 103358.00835363679, "combined": 68243.95806237972, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 217579.33162828034, "cagr": 0.17473144441027277, "maxDrawdown": -0.21652700570384042 }, "longOnly": { "terminal": 151439.99618476813, "cagr": 0.14937700185862024, "maxDrawdown": -0.3848460085488714 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 66139.33544351222, "netShort": 53661.18358769401, "financingDifference": 12478.151855817916, "grossPremium": 72322.96962670097, "shortSettlements": 17758.05761171218, "shortFees": 376.34999999999735, "terminalShortLiability": 527.3784272947836, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 37453.68469454007, "longOnlyInterest": 24975.532838722153, "minCash": 13267.216312322322, "minLongOnlyCash": 13235.24096061995, "cycles": 290, "rolls": 13, "theta": { "longOnly": -37399.19317958449, "short": 110760.35796499373, "combined": 73361.16478540942, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 165712.55871562273, "cagr": 0.15562708261300595, "maxDrawdown": -0.3028570392769441 }, "longOnly": { "terminal": 160357.4070336105, "cagr": 0.15334355578986436, "maxDrawdown": -0.3493892872368509 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 5355.15168201222, "netShort": 3153.3946360550563, "financingDifference": 2201.7570459570998, "grossPremium": 74557.72446418216, "shortSettlements": 70203.60687030769, "shortFees": 376.34999999999735, "terminalShortLiability": 824.3729578194177, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 30334.81472860415, "longOnlyInterest": 28133.05768264705, "minCash": 13710.346090364503, "minLongOnlyCash": 13677.357606027854, "cycles": 290, "rolls": 13, "theta": { "longOnly": -31585.803122064972, "short": 109123.5732380367, "combined": 77537.7701159719, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 187572.6483719736, "cagr": 0.16428151019830928, "maxDrawdown": -0.2600990178325878 }, "longOnly": { "terminal": 158152.83612791979, "cagr": 0.1523826006297564, "maxDrawdown": -0.3579894795127585 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 29419.812244053814, "netShort": 22964.328028304735, "financingDifference": 6455.484215748977, "grossPremium": 82079.00297281911, "shortSettlements": 57895.65535107423, "shortFees": 376.34999999999735, "terminalShortLiability": 842.6695934401494, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 33783.35584327481, "longOnlyInterest": 27327.871627525834, "minCash": 13598.992748284065, "minLongOnlyCash": 13562.693473626878, "cycles": 290, "rolls": 13, "theta": { "longOnly": -32953.70377552421, "short": 119239.12702294764, "combined": 86285.42324742334, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 197321.0192224187, "cagr": 0.16783882749446732, "maxDrawdown": -0.2425251232333837 }, "longOnly": { "terminal": 157047.92481075434, "cagr": 0.1518962328616804, "maxDrawdown": -0.3623345215198389 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 40273.09441166435, "netShort": 31906.164651858846, "financingDifference": 8366.929759805338, "grossPremium": 85749.74769214139, "shortSettlements": 52614.54124391262, "shortFees": 376.34999999999735, "terminalShortLiability": 852.6917963699248, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 35296.7486338672, "longOnlyInterest": 26929.818874061864, "minCash": 13544.372304347124, "minLongOnlyCash": 13506.421199131522, "cycles": 290, "rolls": 13, "theta": { "longOnly": -33659.60739781744, "short": 124232.28892741796, "combined": 90572.68152960064, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 214491.82882644638, "cagr": 0.17372096137132864, "maxDrawdown": -0.2155877703681217 }, "longOnly": { "terminal": 154825.1296487445, "cagr": 0.15090796710394416, "maxDrawdown": -0.3711612250204327 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 59666.69917770187, "netShort": 47827.1539607363, "financingDifference": 11839.545216965198, "grossPremium": 92955.70891390137, "shortSettlements": 43878.17320918445, "shortFees": 376.34999999999735, "terminalShortLiability": 874.0317439806176, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 37981.08831944444, "longOnlyInterest": 26141.54310247924, "minCash": 13437.191122671415, "minLongOnlyCash": 13395.943462834199, "cycles": 290, "rolls": 13, "theta": { "longOnly": -35114.0502912568, "short": 133678.12706722488, "combined": 98564.07677596784, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 236072.98674771053, "cagr": 0.18051591804904166, "maxDrawdown": -0.18582498192641128 }, "longOnly": { "terminal": 151439.99618476813, "cagr": 0.14937700185862024, "maxDrawdown": -0.3848460085488714 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 84632.9905629424, "netShort": 68458.63743679832, "financingDifference": 16174.353126143797, "grossPremium": 103692.68004176383, "shortSettlements": 33949.35027030573, "shortFees": 376.34999999999735, "terminalShortLiability": 908.3423346597897, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 41149.88596486595, "longOnlyInterest": 24975.532838722153, "minCash": 13281.415753961644, "minLongOnlyCash": 13235.24096061995, "cycles": 290, "rolls": 13, "theta": { "longOnly": -37399.19317958449, "short": 146218.56341359924, "combined": 108819.37023401482, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 159780.63237946582, "cagr": 0.153093349195359, "maxDrawdown": -0.3060413628959646 }, "longOnly": { "terminal": 160357.4070336105, "cagr": 0.15334355578986436, "maxDrawdown": -0.3493892872368509 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": -576.7746541446832, "netShort": -1579.2429259681026, "financingDifference": 1002.4682718234908, "grossPremium": 98502.50265709421, "shortSettlements": 98473.8792267632, "shortFees": 376.34999999999735, "terminalShortLiability": 1231.5163562991245, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 29135.52595447054, "longOnlyInterest": 28133.05768264705, "minCash": 13721.616052030353, "minLongOnlyCash": 13677.357606027854, "cycles": 290, "rolls": 13, "theta": { "longOnly": -31585.803122064972, "short": 125564.29733531798, "combined": 93978.49421325282, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 186026.57555632284, "cagr": 0.16370142196061876, "maxDrawdown": -0.25538676171537567 }, "longOnly": { "terminal": 158152.83612791979, "cagr": 0.1523826006297564, "maxDrawdown": -0.3579894795127585 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 27873.73942840306, "netShort": 21730.452333291425, "financingDifference": 6143.287095111526, "grossPremium": 109193.54980877954, "shortSettlements": 85819.77259213569, "shortFees": 376.34999999999735, "terminalShortLiability": 1266.9748833524295, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 33471.15872263736, "longOnlyInterest": 27327.871627525834, "minCash": 13611.368105105803, "minLongOnlyCash": 13562.693473626878, "cycles": 290, "rolls": 13, "theta": { "longOnly": -32953.70377552421, "short": 139830.00151711798, "combined": 106876.29774159439, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 198074.33044973228, "cagr": 0.1681068022944021, "maxDrawdown": -0.2348106960323637 }, "longOnly": { "terminal": 157047.92481075434, "cagr": 0.1518962328616804, "maxDrawdown": -0.3623345215198389 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 41026.40563897794, "netShort": 32511.112408528927, "financingDifference": 8515.29323044877, "grossPremium": 114242.23129608437, "shortSettlements": 80069.09218299978, "shortFees": 376.34999999999735, "terminalShortLiability": 1285.6767045556637, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 35445.112104510634, "longOnlyInterest": 26929.818874061864, "minCash": 13557.298910940857, "minLongOnlyCash": 13506.421199131522, "cycles": 290, "rolls": 13, "theta": { "longOnly": -33659.60739781744, "short": 146393.61810776073, "combined": 112734.01070994328, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 221851.7124709363, "cagr": 0.17610771425515392, "maxDrawdown": -0.19853099773126048 }, "longOnly": { "terminal": 154825.1296487445, "cagr": 0.15090796710394416, "maxDrawdown": -0.3711612250204327 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 67026.58282219179, "netShort": 53844.1030845869, "financingDifference": 13182.479737604684, "grossPremium": 123967.90396469267, "shortSettlements": 68422.94624117966, "shortFees": 376.34999999999735, "terminalShortLiability": 1324.504638926112, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 39324.022840083926, "longOnlyInterest": 26141.54310247924, "minCash": 13451.21734388544, "minLongOnlyCash": 13395.943462834199, "cycles": 290, "rolls": 13, "theta": { "longOnly": -35114.0502912568, "short": 159382.59470105727, "combined": 124268.54440980028, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 253676.85388571327, "cagr": 0.18563923566767793, "maxDrawdown": -0.16064875517791088 }, "longOnly": { "terminal": 151439.99618476813, "cagr": 0.14937700185862024, "maxDrawdown": -0.3848460085488714 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 102236.85770094514, "netShort": 82801.69250839586, "financingDifference": 19435.1651925489, "grossPremium": 138257.74623651552, "shortSettlements": 53694.48622997316, "shortFees": 376.34999999999735, "terminalShortLiability": 1385.2174981465055, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 44410.69803127105, "longOnlyInterest": 24975.532838722153, "minCash": 13297.084216694268, "minLongOnlyCash": 13235.24096061995, "cycles": 290, "rolls": 13, "theta": { "longOnly": -37399.19317958449, "short": 177799.16498580546, "combined": 140399.9718062208, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 154580.13346555797, "cagr": 0.15079822597670445, "maxDrawdown": -0.30778315052237804 }, "longOnly": { "terminal": 160357.4070336105, "cagr": 0.15334355578986436, "maxDrawdown": -0.3493892872368509 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": -5777.273568052537, "netShort": -5259.317720159941, "financingDifference": -517.9558478925537, "grossPremium": 124719.57491166325, "shortSettlements": 127893.05053941796, "shortFees": 376.34999999999735, "terminalShortLiability": 1709.4920924052303, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 27615.101834754496, "longOnlyInterest": 28133.05768264705, "minCash": 13635.256416454224, "minLongOnlyCash": 13677.357606027854, "cycles": 290, "rolls": 13, "theta": { "longOnly": -31585.803122064972, "short": 137929.2606444777, "combined": 106343.45752241247, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 182932.68927182505, "cagr": 0.16252685922133692, "maxDrawdown": -0.24908085020630322 }, "longOnly": { "terminal": 158152.83612791979, "cagr": 0.1523826006297564, "maxDrawdown": -0.3579894795127585 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 24779.85314390526, "netShort": 19603.54647894424, "financingDifference": 5176.306664960852, "grossPremium": 138147.92421806307, "shortSettlements": 116399.64881042237, "shortFees": 376.34999999999735, "terminalShortLiability": 1768.3789286964611, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 32504.178292486686, "longOnlyInterest": 27327.871627525834, "minCash": 13621.874530731924, "minLongOnlyCash": 13562.693473626878, "cycles": 290, "rolls": 13, "theta": { "longOnly": -32953.70377552421, "short": 155296.59430683672, "combined": 122342.89053131276, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 196905.82022379318, "cagr": 0.16769071781112133, "maxDrawdown": -0.2251310543921783 }, "longOnly": { "terminal": 157047.92481075434, "cagr": 0.1518962328616804, "maxDrawdown": -0.3623345215198389 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 39857.895413038845, "netShort": 31900.331266234483, "financingDifference": 7957.564146804187, "grossPremium": 144912.28890920803, "shortSettlements": 110836.79225713885, "shortFees": 376.34999999999735, "terminalShortLiability": 1798.8153858347005, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 34887.38302086605, "longOnlyInterest": 26929.818874061864, "minCash": 13571.4825280347, "minLongOnlyCash": 13506.421199131522, "cycles": 290, "rolls": 13, "theta": { "longOnly": -33659.60739781744, "short": 164140.30991021488, "combined": 130480.70251239759, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 223093.24980990821, "cagr": 0.17650298302350764, "maxDrawdown": -0.18641790196789232 }, "longOnly": { "terminal": 154825.1296487445, "cagr": 0.15090796710394416, "maxDrawdown": -0.3711612250204327 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 68268.12016116371, "netShort": 55122.82178287515, "financingDifference": 13145.298378288302, "grossPremium": 157848.57922314084, "shortSettlements": 100488.29535035153, "shortFees": 376.34999999999735, "terminalShortLiability": 1861.112089914161, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 39286.84148076754, "longOnlyInterest": 26141.54310247924, "minCash": 13466.605752777346, "minLongOnlyCash": 13395.943462834199, "cycles": 290, "rolls": 13, "theta": { "longOnly": -35114.0502912568, "short": 181110.11898667493, "combined": 145996.06869541784, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 261282.47408711008, "cagr": 0.18775004967621944, "maxDrawdown": -0.1468475063834247 }, "longOnly": { "terminal": 151439.99618476813, "cagr": 0.14937700185862024, "maxDrawdown": -0.3848460085488714 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 109842.47790234195, "netShort": 89071.92464220105, "financingDifference": 20770.553260140754, "grossPremium": 176120.0319366132, "shortSettlements": 84714.8260190934, "shortFees": 376.34999999999735, "terminalShortLiability": 1956.9312753187717, "fees": 393.89999999999674, "longOnlyFees": 17.55, "interest": 45746.08609886291, "longOnlyInterest": 24975.532838722153, "minCash": 13314.271429038638, "minLongOnlyCash": 13235.24096061995, "cycles": 290, "rolls": 13, "theta": { "longOnly": -37399.19317958449, "short": 204331.0597729397, "combined": 166931.8665933552, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 161978.80249658486, "cagr": 0.15404241802913465, "maxDrawdown": -0.28030405817419046 }, "longOnly": { "terminal": 160357.4070336105, "cagr": 0.15334355578986436, "maxDrawdown": -0.3493892872368509 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 1621.395462974353, "netShort": 117.93805420259923, "financingDifference": 1503.4574087716428, "grossPremium": 44781.649108989426, "shortSettlements": 42107.414427018724, "shortFees": 281.45000000000067, "terminalShortLiability": 2274.846627768102, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 29636.515091418692, "longOnlyInterest": 28133.05768264705, "minCash": 13704.63897169282, "minLongOnlyCash": 13677.357606027854, "cycles": 217, "rolls": 13, "theta": { "longOnly": -31585.803122064972, "short": 80078.95042258708, "combined": 48493.14730052203, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 174340.11718891244, "cagr": 0.15916407578402247, "maxDrawdown": -0.2585534718925263 }, "longOnly": { "terminal": 158152.83612791979, "cagr": 0.1523826006297564, "maxDrawdown": -0.3579894795127585 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 16187.281060992653, "netShort": 11831.999745756682, "financingDifference": 4355.281315235847, "grossPremium": 49150.841293976424, "shortSettlements": 34904.55473008937, "shortFees": 281.45000000000067, "terminalShortLiability": 2132.8368181303745, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 31683.15294276168, "longOnlyInterest": 27327.871627525834, "minCash": 13592.718494322562, "minLongOnlyCash": 13562.693473626878, "cycles": 217, "rolls": 13, "theta": { "longOnly": -32953.70377552421, "short": 84737.6307560049, "combined": 51783.92698048098, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 179972.16135691453, "cagr": 0.16138531295949798, "maxDrawdown": -0.24976711936581553 }, "longOnly": { "terminal": 157047.92481075434, "cagr": 0.1518962328616804, "maxDrawdown": -0.3623345215198389 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 22924.236546160188, "netShort": 17279.66071983651, "financingDifference": 5644.575826323569, "grossPremium": 51311.51932582592, "shortSettlements": 31675.88968621853, "shortFees": 281.45000000000067, "terminalShortLiability": 2074.5189197708783, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 32574.394700385434, "longOnlyInterest": 26929.818874061864, "minCash": 13537.814729604088, "minLongOnlyCash": 13506.421199131522, "cycles": 217, "rolls": 13, "theta": { "longOnly": -33659.60739781744, "short": 86961.60937743183, "combined": 53302.00197961454, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 190001.26296352595, "cagr": 0.16518371812749755, "maxDrawdown": -0.2353967844369479 }, "longOnly": { "terminal": 154825.1296487445, "cagr": 0.15090796710394416, "maxDrawdown": -0.3711612250204327 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 35176.133314781444, "netShort": 27233.498729789862, "financingDifference": 7942.634584991414, "grossPremium": 55614.471753607904, "shortSettlements": 26121.964225238895, "shortFees": 281.45000000000067, "terminalShortLiability": 1977.5587985791446, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 34084.177687470656, "longOnlyInterest": 26141.54310247924, "minCash": 13430.0674013307, "minLongOnlyCash": 13395.943462834199, "cycles": 217, "rolls": 13, "theta": { "longOnly": -35114.0502912568, "short": 91383.96469195824, "combined": 56269.91440070145, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 202384.81529967472, "cagr": 0.16962199043868642, "maxDrawdown": -0.22088051911204176 }, "longOnly": { "terminal": 151439.99618476813, "cagr": 0.14937700185862024, "maxDrawdown": -0.3848460085488714 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 50944.8191149066, "netShort": 40290.375507929435, "financingDifference": 10654.443606976944, "grossPremium": 62023.32280752519, "shortSettlements": 19582.171384779667, "shortFees": 281.45000000000067, "terminalShortLiability": 1869.3259148160848, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 35629.976445699096, "longOnlyInterest": 24975.532838722153, "minCash": 13273.444053790085, "minLongOnlyCash": 13235.24096061995, "cycles": 217, "rolls": 13, "theta": { "longOnly": -37399.19317958449, "short": 97903.61505558231, "combined": 60504.42187599784, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 159942.4077220176, "cagr": 0.15316361336923667, "maxDrawdown": -0.2702962152973264 }, "longOnly": { "terminal": 160357.4070336105, "cagr": 0.15334355578986436, "maxDrawdown": -0.3493892872368509 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": -414.99931159289554, "netShort": -1132.0410449654933, "financingDifference": 717.0417333726182, "grossPremium": 64129.11987116881, "shortSettlements": 61751.716570752076, "shortFees": 281.45000000000067, "terminalShortLiability": 3227.9943453822284, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 28850.099416019668, "longOnlyInterest": 28133.05768264705, "minCash": 13716.80250673022, "minLongOnlyCash": 13677.357606027854, "cycles": 217, "rolls": 13, "theta": { "longOnly": -31585.803122064972, "short": 100975.49043453908, "combined": 69389.68731247436, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 179491.0427469683, "cagr": 0.16119813396136862, "maxDrawdown": -0.23807567771510396 }, "longOnly": { "terminal": 158152.83612791979, "cagr": 0.1523826006297564, "maxDrawdown": -0.3579894795127585 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 21338.20661904852, "netShort": 16527.731021883672, "financingDifference": 4810.47559716479, "grossPremium": 70449.73279648735, "shortSettlements": 50560.723635680675, "shortFees": 281.45000000000067, "terminalShortLiability": 3079.8281389230056, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 32138.347224690624, "longOnlyInterest": 27327.871627525834, "minCash": 13606.072456440612, "minLongOnlyCash": 13562.693473626878, "cycles": 217, "rolls": 13, "theta": { "longOnly": -32953.70377552421, "short": 108748.71550755788, "combined": 75795.0117320338, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 187222.40814973263, "cagr": 0.16415049439908258, "maxDrawdown": -0.2265706890687501 }, "longOnly": { "terminal": 157047.92481075434, "cagr": 0.1518962328616804, "maxDrawdown": -0.3623345215198389 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 30174.483338978287, "netShort": 23680.430180675758, "financingDifference": 6494.053158302282, "grossPremium": 73579.2226549509, "shortSettlements": 46598.324052914875, "shortFees": 281.45000000000067, "terminalShortLiability": 3019.018421360272, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 33423.87203236415, "longOnlyInterest": 26929.818874061864, "minCash": 13551.762171385608, "minLongOnlyCash": 13506.421199131522, "cycles": 217, "rolls": 13, "theta": { "longOnly": -33659.60739781744, "short": 112227.94619749866, "combined": 78568.33879968115, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 200807.9910044553, "cagr": 0.16907126667563888, "maxDrawdown": -0.2069391889091906 }, "longOnly": { "terminal": 154825.1296487445, "cagr": 0.15090796710394416, "maxDrawdown": -0.3711612250204327 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 45982.861355710804, "netShort": 36387.160733205055, "financingDifference": 9595.700622505581, "grossPremium": 79735.82152794884, "shortSettlements": 40148.81826081958, "shortFees": 281.45000000000067, "terminalShortLiability": 2918.3925339242023, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 35737.24372498482, "longOnlyInterest": 26141.54310247924, "minCash": 13445.198349123173, "minLongOnlyCash": 13395.943462834199, "cycles": 217, "rolls": 13, "theta": { "longOnly": -35114.0502912568, "short": 118915.58264198381, "combined": 83801.53235072701, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 219467.89272761377, "cagr": 0.17534291389612533, "maxDrawdown": -0.1836671390794654 }, "longOnly": { "terminal": 151439.99618476813, "cagr": 0.14937700185862024, "maxDrawdown": -0.3848460085488714 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 68027.89654284564, "netShort": 54240.6244907151, "financingDifference": 13787.272052130327, "grossPremium": 88901.59204225217, "shortSettlements": 31571.613775402293, "shortFees": 281.45000000000067, "terminalShortLiability": 2807.9037761347877, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 38762.80489085248, "longOnlyInterest": 24975.532838722153, "minCash": 13290.341670365333, "minLongOnlyCash": 13235.24096061995, "cycles": 217, "rolls": 13, "theta": { "longOnly": -37399.19317958449, "short": 128927.02122308996, "combined": 91527.8280435057, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 154891.76496096313, "cagr": 0.1509377868255375, "maxDrawdown": -0.2647538575949224 }, "longOnly": { "terminal": 160357.4070336105, "cagr": 0.15334355578986436, "maxDrawdown": -0.3493892872368509 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": -5465.642072647373, "netShort": -5153.655110815468, "financingDifference": -311.9869618319026, "grossPremium": 85319.8993103911, "shortSettlements": 85973.25937080466, "shortFees": 281.45000000000067, "terminalShortLiability": 4218.84505040191, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 27821.070720815147, "longOnlyInterest": 28133.05768264705, "minCash": 13730.22777952532, "minLongOnlyCash": 13677.357606027854, "cycles": 217, "rolls": 13, "theta": { "longOnly": -31585.803122064972, "short": 115132.19827979713, "combined": 83546.39515773223, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 177431.5042801635, "cagr": 0.1603915046442248, "maxDrawdown": -0.22242583607120436 }, "longOnly": { "terminal": 158152.83612791979, "cagr": 0.1523826006297564, "maxDrawdown": -0.3579894795127585 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 19278.668152243714, "netShort": 15128.737677872465, "financingDifference": 4149.9304743713365, "grossPremium": 93827.7300906612, "shortSettlements": 74335.99962622198, "shortFees": 281.45000000000067, "terminalShortLiability": 4081.542786566763, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 31477.80210189717, "longOnlyInterest": 27327.871627525834, "minCash": 13620.8095807941, "minLongOnlyCash": 13562.693473626878, "cycles": 217, "rolls": 13, "theta": { "longOnly": -32953.70377552421, "short": 127509.75520505912, "combined": 94556.05142953481, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 187908.20989730104, "cagr": 0.16440681960061365, "maxDrawdown": -0.2065807898463199 }, "longOnly": { "terminal": 157047.92481075434, "cagr": 0.1518962328616804, "maxDrawdown": -0.3623345215198389 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 30860.285086546704, "netShort": 24572.167466040948, "financingDifference": 6288.117620505596, "grossPremium": 98003.85776251141, "shortSettlements": 69124.3728633834, "shortFees": 281.45000000000067, "terminalShortLiability": 4025.867433087069, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 33217.93649456746, "longOnlyInterest": 26929.818874061864, "minCash": 13567.153172315962, "minLongOnlyCash": 13506.421199131522, "cycles": 217, "rolls": 13, "theta": { "longOnly": -33659.60739781744, "short": 133661.5240195894, "combined": 100001.91662177216, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 208280.65188960131, "cagr": 0.1716460623783953, "maxDrawdown": -0.18035682346259407 }, "longOnly": { "terminal": 154825.1296487445, "cagr": 0.15090796710394416, "maxDrawdown": -0.3711612250204327 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 53455.52224085681, "netShort": 42950.198185628935, "financingDifference": 10505.324055227735, "grossPremium": 106313.69124617675, "shortSettlements": 59146.66868040584, "shortFees": 281.45000000000067, "terminalShortLiability": 3935.3743801419796, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 36646.867157706976, "longOnlyInterest": 26141.54310247924, "minCash": 13461.893022846602, "minLongOnlyCash": 13395.943462834199, "cycles": 217, "rolls": 13, "theta": { "longOnly": -35114.0502912568, "short": 145610.1459258598, "combined": 110496.09563460278, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 234533.1878338683, "cagr": 0.18005085477954608, "maxDrawdown": -0.1520773609180095 }, "longOnly": { "terminal": 151439.99618476813, "cagr": 0.14937700185862024, "maxDrawdown": -0.3848460085488714 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 83093.19164910016, "netShort": 67084.48717155983, "financingDifference": 16008.704477540115, "grossPremium": 118506.52827979506, "shortSettlements": 47300.14261210324, "shortFees": 281.45000000000067, "terminalShortLiability": 3840.448496132001, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 40984.23731626227, "longOnlyInterest": 24975.532838722153, "minCash": 13308.981706172082, "minLongOnlyCash": 13235.24096061995, "cycles": 217, "rolls": 13, "theta": { "longOnly": -37399.19317958449, "short": 159206.47031111433, "combined": 121807.27713152966, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 148071.91531991432, "cagr": 0.14782149119248467, "maxDrawdown": -0.25865833758247203 }, "longOnly": { "terminal": 160357.4070336105, "cagr": 0.15334355578986436, "maxDrawdown": -0.3493892872368509 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": -12285.491713696189, "netShort": -10892.187895226009, "financingDifference": -1393.3038184702382, "grossPremium": 107708.18190307384, "shortSettlements": 113079.22482650662, "shortFees": 281.45000000000067, "terminalShortLiability": 5239.694971793233, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 26739.75386417681, "longOnlyInterest": 28133.05768264705, "minCash": 13744.95795432854, "minLongOnlyCash": 13677.357606027854, "cycles": 217, "rolls": 13, "theta": { "longOnly": -31585.803122064972, "short": 127053.25621839809, "combined": 95467.45309633319, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 173036.3714095661, "cagr": 0.15864028347128123, "maxDrawdown": -0.21371256589062781 }, "longOnly": { "terminal": 158152.83612791979, "cagr": 0.1523826006297564, "maxDrawdown": -0.3579894795127585 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 14883.535281646327, "netShort": 11527.449591184084, "financingDifference": 3356.085690462369, "grossPremium": 119273.16140615777, "shortSettlements": 102336.16693614295, "shortFees": 281.45000000000067, "terminalShortLiability": 5128.094878830734, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 30683.957317988203, "longOnlyInterest": 27327.871627525834, "minCash": 13636.976918021346, "minLongOnlyCash": 13562.693473626878, "cycles": 217, "rolls": 13, "theta": { "longOnly": -32953.70377552421, "short": 142103.64102242023, "combined": 109149.93724689561, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 184836.62624414996, "cagr": 0.16325185779555396, "maxDrawdown": -0.1947381942677937 }, "longOnly": { "terminal": 157047.92481075434, "cagr": 0.1518962328616804, "maxDrawdown": -0.3623345215198389 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 27788.701433395618, "netShort": 22118.465924727898, "financingDifference": 5670.235508667756, "grossPremium": 124681.99814147576, "shortSettlements": 97197.69698552907, "shortFees": 281.45000000000067, "terminalShortLiability": 5084.385231218801, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 32600.05438272962, "longOnlyInterest": 26929.818874061864, "minCash": 13584.036698109174, "minLongOnlyCash": 13506.421199131522, "cycles": 217, "rolls": 13, "theta": { "longOnly": -33659.60739781744, "short": 149191.38753121044, "combined": 115531.78013339307, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 208586.23143357047, "cagr": 0.17174949567856457, "maxDrawdown": -0.16099401691343185 }, "longOnly": { "terminal": 154825.1296487445, "cagr": 0.15090796710394416, "maxDrawdown": -0.3711612250204327 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 53761.101784825965, "netShort": 43407.64790088814, "financingDifference": 10353.453883937662, "grossPremium": 135278.59190079846, "shortSettlements": 86572.78888634451, "shortFees": 281.45000000000067, "terminalShortLiability": 5016.7051135658085, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 36494.9969864169, "longOnlyInterest": 26141.54310247924, "minCash": 13480.20416263659, "minLongOnlyCash": 13395.943462834199, "cycles": 217, "rolls": 13, "theta": { "longOnly": -35114.0502912568, "short": 163784.21963125895, "combined": 128670.16934000228, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 242223.0499964437, "cagr": 0.18234541927309933, "maxDrawdown": -0.12483924625321441 }, "longOnly": { "terminal": 151439.99618476813, "cagr": 0.14937700185862024, "maxDrawdown": -0.3848460085488714 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 90783.05381167558, "netShort": 73682.96740472733, "financingDifference": 17100.0864069479, "grossPremium": 150923.66001290668, "shortSettlements": 72004.88611779382, "shortFees": 281.45000000000067, "terminalShortLiability": 4954.356490385533, "fees": 299.00000000000006, "longOnlyFees": 17.55, "interest": 42075.61924567005, "longOnlyInterest": 24975.532838722153, "minCash": 13329.422425158456, "minLongOnlyCash": 13235.24096061995, "cycles": 217, "rolls": 13, "theta": { "longOnly": -37399.19317958449, "short": 185386.10651876358, "combined": 147986.91333917924, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 139565.00478561458, "cagr": 0.1437394941387553, "maxDrawdown": -0.27922197333254906 }, "longOnly": { "terminal": 160357.4070336105, "cagr": 0.15334355578986436, "maxDrawdown": -0.3493892872368509 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": -20792.402247995924, "netShort": -22455.229979861346, "financingDifference": 1662.827731865429, "grossPremium": 35265.375584935944, "shortSettlements": 56483.113544253254, "shortFees": 178.7500000000009, "terminalShortLiability": 1058.7420205440367, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 29795.88541451248, "longOnlyInterest": 28133.05768264705, "minCash": 13710.794809453791, "minLongOnlyCash": 13677.357606027854, "cycles": 138, "rolls": 13, "theta": { "longOnly": -31585.803122064972, "short": 65335.20948622089, "combined": 33749.40636415595, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 151731.40672290922, "cagr": 0.1495100542260226, "maxDrawdown": -0.2570540332978347 }, "longOnly": { "terminal": 158152.83612791979, "cagr": 0.1523826006297564, "maxDrawdown": -0.3579894795127585 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": -6421.429405010567, "netShort": -10360.56853889533, "financingDifference": 3939.1391338847716, "grossPremium": 38718.63478728491, "shortSettlements": 47775.66110614376, "shortFees": 178.7500000000009, "terminalShortLiability": 1124.7922200364796, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 31267.010761410605, "longOnlyInterest": 27327.871627525834, "minCash": 13599.465671154243, "minLongOnlyCash": 13562.693473626878, "cycles": 138, "rolls": 13, "theta": { "longOnly": -32953.70377552421, "short": 70838.09718744765, "combined": 37884.39341192343, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 156450.25149245825, "cagr": 0.15163180288015443, "maxDrawdown": -0.2530018819632187 }, "longOnly": { "terminal": 157047.92481075434, "cagr": 0.1518962328616804, "maxDrawdown": -0.3623345215198389 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": -597.6733182960888, "netShort": -5427.0640774289695, "financingDifference": 4829.390759132853, "grossPremium": 40446.66854538836, "shortSettlements": 44537.18080251986, "shortFees": 178.7500000000009, "terminalShortLiability": 1157.8018202974677, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 31759.209633194718, "longOnlyInterest": 26929.818874061864, "minCash": 13544.85596883069, "minLongOnlyCash": 13506.421199131522, "cycles": 138, "rolls": 13, "theta": { "longOnly": -33659.60739781744, "short": 73575.76639939417, "combined": 39916.159001576794, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 164693.55278064002, "cagr": 0.15519795654533008, "maxDrawdown": -0.2461209955410445 }, "longOnly": { "terminal": 154825.1296487445, "cagr": 0.15090796710394416, "maxDrawdown": -0.3711612250204327 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 9868.423131895514, "netShort": 3477.4984575683957, "financingDifference": 6390.924674327034, "grossPremium": 43905.23017306368, "shortSettlements": 39025.300174738244, "shortFees": 178.7500000000009, "terminalShortLiability": 1223.6815407570418, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 32532.467776806276, "longOnlyInterest": 26141.54310247924, "minCash": 13437.693570534844, "minLongOnlyCash": 13395.943462834199, "cycles": 138, "rolls": 13, "theta": { "longOnly": -35114.0502912568, "short": 78443.83220365277, "combined": 43329.78191239587, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 175057.48411369545, "cagr": 0.15945071688211798, "maxDrawdown": -0.23732114964581008 }, "longOnly": { "terminal": 151439.99618476813, "cagr": 0.14937700185862024, "maxDrawdown": -0.3848460085488714 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 23617.487928927323, "netShort": 15198.831339965802, "financingDifference": 8418.656588961458, "grossPremium": 48929.0605729637, "shortSettlements": 32229.55120698668, "shortFees": 178.7500000000009, "terminalShortLiability": 1321.9280260112187, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 33394.18942768361, "longOnlyInterest": 24975.532838722153, "minCash": 13281.939688875134, "minLongOnlyCash": 13235.24096061995, "cycles": 138, "rolls": 13, "theta": { "longOnly": -37399.19317958449, "short": 84569.25577430788, "combined": 47170.06259472344, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 135388.03081066447, "cagr": 0.14164882954184965, "maxDrawdown": -0.2836607313947228 }, "longOnly": { "terminal": 160357.4070336105, "cagr": 0.15334355578986436, "maxDrawdown": -0.3493892872368509 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": -24969.37622294604, "netShort": -26165.88652993244, "financingDifference": 1196.51030698642, "grossPremium": 50525.76094244417, "shortSettlements": 74940.7212457526, "shortFees": 178.7500000000009, "terminalShortLiability": 1572.1762266240034, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 29329.56798963347, "longOnlyInterest": 28133.05768264705, "minCash": 13725.628612403145, "minLongOnlyCash": 13677.357606027854, "cycles": 138, "rolls": 13, "theta": { "longOnly": -31585.803122064972, "short": 79704.6053207938, "combined": 48118.80219872879, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 149773.16229904944, "cagr": 0.14861130224077757, "maxDrawdown": -0.2553519140151407 }, "longOnly": { "terminal": 158152.83612791979, "cagr": 0.1523826006297564, "maxDrawdown": -0.3579894795127585 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": -8379.67382887035, "netShort": -12475.450956064291, "financingDifference": 4095.777127193862, "grossPremium": 55433.530336069976, "shortSettlements": 66056.08543967431, "shortFees": 178.7500000000009, "terminalShortLiability": 1674.145852459958, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 31423.648754719696, "longOnlyInterest": 27327.871627525834, "minCash": 13615.744263192966, "minLongOnlyCash": 13562.693473626878, "cycles": 138, "rolls": 13, "theta": { "longOnly": -32953.70377552421, "short": 86496.17893779672, "combined": 53542.47516227256, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 156855.42962195032, "cagr": 0.15181117017152324, "maxDrawdown": -0.24242791834369537 }, "longOnly": { "terminal": 157047.92481075434, "cagr": 0.1518962328616804, "maxDrawdown": -0.3623345215198389 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": -192.4951888040232, "netShort": -5702.846794306813, "financingDifference": 5510.351605502692, "grossPremium": 57884.19406866947, "shortSettlements": 61683.27287966938, "shortFees": 178.7500000000009, "terminalShortLiability": 1725.017983306907, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 32440.170479564556, "longOnlyInterest": 26929.818874061864, "minCash": 13561.854385694558, "minLongOnlyCash": 13506.421199131522, "cycles": 138, "rolls": 13, "theta": { "longOnly": -33659.60739781744, "short": 90042.4042119908, "combined": 56382.79681417337, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 170135.56974372017, "cagr": 0.157461424055229, "maxDrawdown": -0.21989770441773926 }, "longOnly": { "terminal": 154825.1296487445, "cagr": 0.15090796710394416, "maxDrawdown": -0.3711612250204327 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 15310.440094975667, "netShort": 7192.504213885124, "financingDifference": 8117.935881090481, "grossPremium": 62778.868290626786, "shortSettlements": 53581.205673463635, "shortFees": 178.7500000000009, "terminalShortLiability": 1826.408403278026, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 34259.47898356972, "longOnlyInterest": 26141.54310247924, "minCash": 13456.126523743369, "minLongOnlyCash": 13395.943462834199, "cycles": 138, "rolls": 13, "theta": { "longOnly": -35114.0502912568, "short": 97122.22668564353, "combined": 62008.17639438679, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 185818.4352674536, "cagr": 0.1636229817084005, "maxDrawdown": -0.2012178448880031 }, "longOnly": { "terminal": 151439.99618476813, "cagr": 0.14937700185862024, "maxDrawdown": -0.3848460085488714 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 34378.43908268548, "netShort": 23251.769966345757, "financingDifference": 11126.669116339639, "grossPremium": 70091.13486837405, "shortSettlements": 44683.27040830329, "shortFees": 178.7500000000009, "terminalShortLiability": 1977.3444937250076, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 36102.20195506179, "longOnlyInterest": 24975.532838722153, "minCash": 13302.511741169285, "minLongOnlyCash": 13235.24096061995, "cycles": 138, "rolls": 13, "theta": { "longOnly": -37399.19317958449, "short": 107012.81388905068, "combined": 69613.62070946612, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 132168.27480477022, "cagr": 0.1399954809800994, "maxDrawdown": -0.28846713821442294 }, "longOnly": { "terminal": 160357.4070336105, "cagr": 0.15334355578986436, "maxDrawdown": -0.3493892872368509 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": -28189.132228840288, "netShort": -28642.08842344328, "financingDifference": 452.95619460302987, "grossPremium": 67340.41971018282, "shortSettlements": 93654.38236406722, "shortFees": 178.7500000000009, "terminalShortLiability": 2149.3757695588783, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 28586.01387725008, "longOnlyInterest": 28133.05768264705, "minCash": 13741.99627607818, "minLongOnlyCash": 13677.357606027854, "cycles": 138, "rolls": 13, "theta": { "longOnly": -31585.803122064972, "short": 92529.9171284372, "combined": 60944.11400637232, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 148665.36677805163, "cagr": 0.1480979676340317, "maxDrawdown": -0.25380633227480465 }, "longOnly": { "terminal": 158152.83612791979, "cagr": 0.1523826006297564, "maxDrawdown": -0.3579894795127585 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": -9487.469349868159, "netShort": -13467.618191309472, "financingDifference": 3980.1488414412743, "grossPremium": 73845.31694016438, "shortSettlements": 84841.06435268442, "shortFees": 178.7500000000009, "terminalShortLiability": 2293.1207787894323, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 31308.020468967108, "longOnlyInterest": 27327.871627525834, "minCash": 13633.703052131117, "minLongOnlyCash": 13562.693473626878, "cycles": 138, "rolls": 13, "theta": { "longOnly": -32953.70377552421, "short": 101578.95198997513, "combined": 68625.2482144511, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 156659.59316353087, "cagr": 0.15172453025742771, "maxDrawdown": -0.23871082264571675 }, "longOnly": { "terminal": 157047.92481075434, "cagr": 0.1518962328616804, "maxDrawdown": -0.3623345215198389 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": -388.3316472234728, "netShort": -6042.5705950249, "financingDifference": 5654.238947801285, "grossPremium": 77089.10755783216, "shortSettlements": 80588.18621239724, "shortFees": 178.7500000000009, "terminalShortLiability": 2364.741940459822, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 32584.05782186315, "longOnlyInterest": 26929.818874061864, "minCash": 13580.605702264013, "minLongOnlyCash": 13506.421199131522, "cycles": 138, "rolls": 13, "theta": { "longOnly": -33659.60739781744, "short": 105954.49820355556, "combined": 72294.89080573818, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 171540.54491798062, "cagr": 0.15803473251787947, "maxDrawdown": -0.21311897906857658 }, "longOnly": { "terminal": 154825.1296487445, "cagr": 0.15090796710394416, "maxDrawdown": -0.3711612250204327 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 16715.41526923611, "netShort": 7976.536616072661, "financingDifference": 8738.87865316336, "grossPremium": 83559.2891068619, "shortSettlements": 72896.66306872282, "shortFees": 178.7500000000009, "terminalShortLiability": 2507.3394220664286, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 34880.4217556426, "longOnlyInterest": 26141.54310247924, "minCash": 13476.456858212978, "minLongOnlyCash": 13395.943462834199, "cycles": 138, "rolls": 13, "theta": { "longOnly": -35114.0502912568, "short": 114206.44815602181, "combined": 79092.3978647648, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 192313.63457243543, "cagr": 0.16603272674923986, "maxDrawdown": -0.18134358232000747 }, "longOnly": { "terminal": 151439.99618476813, "cagr": 0.14937700185862024, "maxDrawdown": -0.3848460085488714 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 40873.638387667306, "netShort": 27960.464732059103, "financingDifference": 12913.173655608116, "grossPremium": 93217.84347927911, "shortSettlements": 62359.29682212765, "shortFees": 178.7500000000009, "terminalShortLiability": 2719.3319250923537, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 37888.70649433027, "longOnlyInterest": 24975.532838722153, "minCash": 13325.195606253472, "minLongOnlyCash": 13235.24096061995, "cycles": 138, "rolls": 13, "theta": { "longOnly": -37399.19317958449, "short": 126756.83786871843, "combined": 89357.64468913389, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 126779.81396284771, "cagr": 0.13714189120125697, "maxDrawdown": -0.3028964325899586 }, "longOnly": { "terminal": 160357.4070336105, "cagr": 0.15334355578986436, "maxDrawdown": -0.3493892872368509 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": -33577.5930707628, "netShort": -32583.956897022268, "financingDifference": -993.6361737405241, "grossPremium": 85455.82264111142, "shortSettlements": 115071.30048921035, "shortFees": 178.7500000000009, "terminalShortLiability": 2789.729048923334, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 27139.421508906526, "longOnlyInterest": 28133.05768264705, "minCash": 13759.949678301084, "minLongOnlyCash": 13677.357606027854, "cycles": 138, "rolls": 13, "theta": { "longOnly": -31585.803122064972, "short": 102806.88402491988, "combined": 71221.08090285504, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 146716.26499182987, "cagr": 0.1471859955266579, "maxDrawdown": -0.25577541253198066 }, "longOnly": { "terminal": 158152.83612791979, "cagr": 0.1523826006297564, "maxDrawdown": -0.3579894795127585 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": -11436.571136089915, "netShort": -14609.300579000106, "financingDifference": 3172.7294429101566, "grossPremium": 94007.42046394937, "shortSettlements": 105456.8618931682, "shortFees": 178.7500000000009, "terminalShortLiability": 2981.1091497812754, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 30500.60107043599, "longOnlyInterest": 27327.871627525834, "minCash": 13653.398468708017, "minLongOnlyCash": 13562.693473626878, "cycles": 138, "rolls": 13, "theta": { "longOnly": -32953.70377552421, "short": 114600.87426733079, "combined": 81647.1704918067, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 155967.7030228431, "cagr": 0.15141761426763023, "maxDrawdown": -0.237232266373412 }, "longOnly": { "terminal": 157047.92481075434, "cagr": 0.1518962328616804, "maxDrawdown": -0.3623345215198389 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": -1080.2217879112286, "netShort": -6258.102688394105, "financingDifference": 5177.880900482778, "grossPremium": 98116.69323709025, "shortSettlements": 101119.67902947178, "shortFees": 178.7500000000009, "terminalShortLiability": 3076.3668960125756, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 32107.699774544642, "longOnlyInterest": 26929.818874061864, "minCash": 13601.16858462188, "minLongOnlyCash": 13506.421199131522, "cycles": 138, "rolls": 13, "theta": { "longOnly": -33659.60739781744, "short": 120057.42406258537, "combined": 86397.81666476787, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 173269.38408876277, "cagr": 0.1587341701428684, "maxDrawdown": -0.20648895121898758 }, "longOnly": { "terminal": 154825.1296487445, "cagr": 0.15090796710394416, "maxDrawdown": -0.3711612250204327 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 18444.254440018267, "netShort": 9525.105350418246, "financingDifference": 8919.149089599778, "grossPremium": 106305.36252886332, "shortSettlements": 93335.63942787019, "shortFees": 178.7500000000009, "terminalShortLiability": 3265.867750574881, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 35060.69219207902, "longOnlyInterest": 26141.54310247924, "minCash": 13498.74762939161, "minLongOnlyCash": 13395.943462834199, "cycles": 138, "rolls": 13, "theta": { "longOnly": -35114.0502912568, "short": 130250.17090207673, "combined": 95136.12061081985, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2010, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2010-01-04", "end": "2026-08-14", "years": 16.607802874743328, "pmcc": { "terminal": 196989.3787321963, "cagr": 0.16772054835609107, "maxDrawdown": -0.17048443356249143 }, "longOnly": { "terminal": 151439.99618476813, "cagr": 0.14937700185862024, "maxDrawdown": -0.3848460085488714 }, "stock": { "terminal": 272471.7685872015, "cagr": 0.19075277948697789, "maxDrawdown": -0.35118710608817016 }, "contribution": 45549.38254742816, "netShort": 31615.6606452466, "financingDifference": 13933.721902181365, "grossPremium": 118510.91421919732, "shortSettlements": 83169.22648653711, "shortFees": 178.7500000000009, "terminalShortLiability": 3547.277087413613, "fees": 196.30000000000106, "longOnlyFees": 17.55, "interest": 38909.25474090352, "longOnlyInterest": 24975.532838722153, "minCash": 13350.060723010252, "minLongOnlyCash": 13235.24096061995, "cycles": 138, "rolls": 13, "theta": { "longOnly": -37399.19317958449, "short": 145321.1278170181, "combined": 107921.93463743333, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 75300.3925996671, "cagr": 0.14903448905305083, "maxDrawdown": -0.28561271411959366 }, "longOnly": { "terminal": 73570.394061572, "cagr": 0.14673726197564418, "maxDrawdown": -0.3187308864476227 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 1729.9985380950966, "netShort": 1219.2160944991197, "financingDifference": 510.78244359620294, "grossPremium": 21275.50388846264, "shortSettlements": 19577.752030748736, "shortFees": 263.2500000000013, "terminalShortLiability": 215.28576321478425, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 12669.896369297338, "longOnlyInterest": 12159.113925701135, "minCash": 13443.033449981516, "minLongOnlyCash": 13414.947182090233, "cycles": 203, "rolls": 9, "theta": { "longOnly": -12183.029191244761, "short": 35734.55091649881, "combined": 23551.521725253973, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 80990.86857290649, "cagr": 0.1562647063663678, "maxDrawdown": -0.2634914687319688 }, "longOnly": { "terminal": 72612.11532416486, "cagr": 0.14544345041194262, "maxDrawdown": -0.3254205989340764 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 8378.753248741632, "netShort": 6880.731424308977, "financingDifference": 1498.0218244328607, "grossPremium": 23412.859993065522, "shortSettlements": 16050.545608497448, "shortFees": 263.2500000000013, "terminalShortLiability": 218.3329602590959, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 13356.04526351703, "longOnlyInterest": 11858.023439084169, "minCash": 13312.799947901152, "minLongOnlyCash": 13281.892430946884, "cycles": 203, "rolls": 9, "theta": { "longOnly": -12678.668409149386, "short": 38231.35186925832, "combined": 25552.683460108936, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 83549.84820052046, "cagr": 0.1593658153417452, "maxDrawdown": -0.2536778136414739 }, "longOnly": { "terminal": 72129.18634712213, "cagr": 0.14478550350140917, "maxDrawdown": -0.32880456278781656 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 11420.661853398327, "netShort": 9474.528599567226, "financingDifference": 1946.13325383126, "grossPremium": 24480.130864053677, "shortSettlements": 14522.188272288367, "shortFees": 263.2500000000013, "terminalShortLiability": 220.16399219808278, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 13655.54402545891, "longOnlyInterest": 11709.41077162765, "minCash": 13249.172138197846, "minLongOnlyCash": 13216.857506925044, "cycles": 203, "rolls": 9, "theta": { "longOnly": -12936.371070518799, "short": 39427.76070123564, "combined": 26491.389630716803, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 88459.99189163977, "cagr": 0.16508056396305748, "maxDrawdown": -0.23539719634674294 }, "longOnly": { "terminal": 71153.4599291937, "cagr": 0.14344378862622342, "maxDrawdown": -0.33567767855318076 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 17306.531962446068, "netShort": 14494.038041880516, "financingDifference": 2812.4939205657356, "grossPremium": 26557.04646736951, "shortSettlements": 11575.473710631559, "shortFees": 263.2500000000013, "terminalShortLiability": 224.28471485743273, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 14228.151032524358, "longOnlyInterest": 11415.657111958622, "minCash": 13124.804140066624, "minLongOnlyCash": 13089.682274513141, "cycles": 203, "rolls": 9, "theta": { "longOnly": -13471.108693045515, "short": 41623.871067202956, "combined": 28152.762374157428, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 95193.88171184468, "cagr": 0.17246366144589254, "maxDrawdown": -0.2116053599825618 }, "longOnly": { "terminal": 69659.1018282481, "cagr": 0.14135594885083802, "maxDrawdown": -0.34630714686347974 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 25534.77988359658, "netShort": 21520.595100400296, "financingDifference": 4014.184783196435, "grossPremium": 29629.19007811339, "shortSettlements": 7614.053344388524, "shortFees": 263.2500000000013, "terminalShortLiability": 231.29163332457097, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 14996.805380609072, "longOnlyInterest": 10982.620597412637, "minCash": 12945.211596598585, "minLongOnlyCash": 12905.896287731113, "cycles": 203, "rolls": 9, "theta": { "longOnly": -14320.4546635189, "short": 44726.960258403386, "combined": 30406.505594884464, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 74463.41513004008, "cagr": 0.14792917658774174, "maxDrawdown": -0.28507038670093965 }, "longOnly": { "terminal": 73570.394061572, "cagr": 0.14673726197564418, "maxDrawdown": -0.3187308864476227 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 893.0210684680787, "netShort": 490.39239865914794, "financingDifference": 402.6286698090971, "grossPremium": 30418.617655090307, "shortSettlements": 29303.431139314507, "shortFees": 263.2500000000013, "terminalShortLiability": 361.5441171166509, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 12561.742595510232, "longOnlyInterest": 12159.113925701135, "minCash": 13455.546072603027, "minLongOnlyCash": 13414.947182090233, "cycles": 203, "rolls": 9, "theta": { "longOnly": -12183.029191244761, "short": 44010.681141895824, "combined": 31827.651950651052, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 83196.400248427, "cagr": 0.1589426979917148, "maxDrawdown": -0.24930251528829872 }, "longOnly": { "terminal": 72612.11532416486, "cagr": 0.14544345041194262, "maxDrawdown": -0.3254205989340764 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 10584.284924262145, "netShort": 8710.369553918881, "financingDifference": 1873.9153703434495, "grossPremium": 33520.60584482707, "shortSettlements": 24177.417843409312, "shortFees": 263.2500000000013, "terminalShortLiability": 369.56844749887523, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 13731.938809427618, "longOnlyInterest": 11858.023439084169, "minCash": 13326.536393371234, "minLongOnlyCash": 13281.892430946884, "cycles": 203, "rolls": 9, "theta": { "longOnly": -12678.668409149386, "short": 48100.08786020845, "combined": 35421.4194510592, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 86986.82006825905, "cagr": 0.16339707727608044, "maxDrawdown": -0.234702293341163 }, "longOnly": { "terminal": 72129.18634712213, "cagr": 0.14478550350140917, "maxDrawdown": -0.32880456278781656 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 14857.633721136925, "netShort": 12350.220503663459, "financingDifference": 2507.4132174736314, "grossPremium": 35040.25420613257, "shortSettlements": 22052.81983118123, "shortFees": 263.2500000000013, "terminalShortLiability": 373.9638712878815, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 14216.823989101282, "longOnlyInterest": 11709.41077162765, "minCash": 13263.518661066475, "minLongOnlyCash": 13216.857506925044, "cycles": 203, "rolls": 9, "theta": { "longOnly": -12936.371070518799, "short": 50152.344437602485, "combined": 37215.97336708366, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 93665.25333448885, "cagr": 0.17083053537232806, "maxDrawdown": -0.21195858852575633 }, "longOnly": { "terminal": 71153.4599291937, "cagr": 0.14344378862622342, "maxDrawdown": -0.33567767855318076 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 22511.793405295146, "netShort": 18846.117079246378, "financingDifference": 3665.676326048817, "grossPremium": 38068.527971988246, "shortSettlements": 18575.837989907603, "shortFees": 263.2500000000013, "terminalShortLiability": 383.32290283426573, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 15081.33343800744, "longOnlyInterest": 11415.657111958622, "minCash": 13140.367165394242, "minLongOnlyCash": 13089.682274513141, "cycles": 203, "rolls": 9, "theta": { "longOnly": -13471.108693045515, "short": 54084.13493027084, "combined": 40613.026237225306, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 102091.93953324671, "cagr": 0.17954745094222035, "maxDrawdown": -0.18595585692662053 }, "longOnly": { "terminal": 69659.1018282481, "cagr": 0.14135594885083802, "maxDrawdown": -0.34630714686347974 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 32432.837704998616, "netShort": 27305.73739638717, "financingDifference": 5127.100308611507, "grossPremium": 42478.91834549808, "shortSettlements": 14511.560497594724, "shortFees": 263.2500000000013, "terminalShortLiability": 398.37045151618895, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 16109.720906024144, "longOnlyInterest": 10982.620597412637, "minCash": 12962.590291621967, "minLongOnlyCash": 12905.896287731113, "cycles": 203, "rolls": 9, "theta": { "longOnly": -14320.4546635189, "short": 59058.289248406625, "combined": 44737.834584887714, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 72841.52963373589, "cagr": 0.14575460660165396, "maxDrawdown": -0.28342633389567484 }, "longOnly": { "terminal": 73570.394061572, "cagr": 0.14673726197564418, "maxDrawdown": -0.3187308864476227 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": -728.8644278361171, "netShort": -885.7957923648962, "financingDifference": 156.93136452893305, "grossPremium": 40501.37712425478, "shortSettlements": 40583.818477810055, "shortFees": 263.2500000000013, "terminalShortLiability": 540.104438809621, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 12316.045290230068, "longOnlyInterest": 12159.113925701135, "minCash": 13469.35594128928, "minLongOnlyCash": 13414.947182090233, "cycles": 203, "rolls": 9, "theta": { "longOnly": -12183.029191244761, "short": 51280.03205279098, "combined": 39097.00286154612, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 82682.70001288326, "cagr": 0.15832480224896806, "maxDrawdown": -0.24408888116849037 }, "longOnly": { "terminal": 72612.11532416486, "cagr": 0.14544345041194262, "maxDrawdown": -0.3254205989340764 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 10070.584688718402, "netShort": 8270.027338322916, "financingDifference": 1800.5573503956239, "grossPremium": 44574.81252395632, "shortSettlements": 35485.87974926115, "shortFees": 263.2500000000013, "terminalShortLiability": 555.6554363722569, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 13658.580789479793, "longOnlyInterest": 11858.023439084169, "minCash": 13341.694785471724, "minLongOnlyCash": 13281.892430946884, "cycles": 203, "rolls": 9, "theta": { "longOnly": -12678.668409149386, "short": 56613.360719598466, "combined": 43934.692310449, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 87408.15743409046, "cagr": 0.16388121031274494, "maxDrawdown": -0.22680071957026915 }, "longOnly": { "terminal": 72129.18634712213, "cagr": 0.14478550350140917, "maxDrawdown": -0.32880456278781656 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 15278.971086968333, "netShort": 12681.934155034278, "financingDifference": 2597.0369319342153, "grossPremium": 46623.07886449422, "shortSettlements": 33114.03724102045, "shortFees": 263.2500000000013, "terminalShortLiability": 563.8574684394911, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 14306.447703561866, "longOnlyInterest": 11709.41077162765, "minCash": 13279.34914754152, "minLongOnlyCash": 13216.857506925044, "cycles": 203, "rolls": 9, "theta": { "longOnly": -12936.371070518799, "short": 59252.685975787856, "combined": 46316.314905268955, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 96771.93957538954, "cagr": 0.17412464443785058, "maxDrawdown": -0.1957482352421107 }, "longOnly": { "terminal": 71153.4599291937, "cagr": 0.14344378862622342, "maxDrawdown": -0.33567767855318076 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 25618.479646195832, "netShort": 21445.98537337807, "financingDifference": 4172.494272817748, "grossPremium": 50680.37912211907, "shortSettlements": 28390.257566394444, "shortFees": 263.2500000000013, "terminalShortLiability": 580.8861823465548, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 15588.15138477637, "longOnlyInterest": 11415.657111958622, "minCash": 13157.537525589292, "minLongOnlyCash": 13089.682274513141, "cycles": 203, "rolls": 9, "theta": { "longOnly": -13471.108693045515, "short": 64621.935332786255, "combined": 51150.82663974075, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 109113.05626037807, "cagr": 0.18632185641899457, "maxDrawdown": -0.1591112079952669 }, "longOnly": { "terminal": 69659.1018282481, "cagr": 0.14135594885083802, "maxDrawdown": -0.34630714686347974 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 39453.954432129976, "netShort": 33214.35724746659, "financingDifference": 6239.597184663397, "grossPremium": 56636.70329478456, "shortSettlements": 22551.583109597806, "shortFees": 263.2500000000013, "terminalShortLiability": 607.5129377201563, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 17222.217782076033, "longOnlyInterest": 10982.620597412637, "minCash": 12981.759733355384, "minLongOnlyCash": 12905.896287731113, "cycles": 203, "rolls": 9, "theta": { "longOnly": -14320.4546635189, "short": 72106.54628588044, "combined": 57786.09162236147, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 71954.24909554425, "cagr": 0.14454617372563305, "maxDrawdown": -0.27733359255084644 }, "longOnly": { "terminal": 73570.394061572, "cagr": 0.14673726197564418, "maxDrawdown": -0.3187308864476227 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": -1616.1449660277576, "netShort": -1533.5381751138007, "financingDifference": -82.606790913851, "grossPremium": 51541.03234217527, "shortSettlements": 52061.59091565173, "shortFees": 263.2500000000013, "terminalShortLiability": 749.7296016373383, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 12076.507134787284, "longOnlyInterest": 12159.113925701135, "minCash": 13484.507325636925, "minLongOnlyCash": 13414.947182090233, "cycles": 203, "rolls": 9, "theta": { "longOnly": -12183.029191244761, "short": 56914.52866329398, "combined": 44731.49947204909, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 82501.96734518195, "cagr": 0.15810657644725046, "maxDrawdown": -0.23364878236495534 }, "longOnly": { "terminal": 72612.11532416486, "cagr": 0.14544345041194262, "maxDrawdown": -0.3254205989340764 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 9889.852021017097, "netShort": 8158.934068471314, "financingDifference": 1730.9179525459276, "grossPremium": 56690.617307873006, "shortSettlements": 47492.87771876157, "shortFees": 263.2500000000013, "terminalShortLiability": 775.5555206401198, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 13588.941391630096, "longOnlyInterest": 11858.023439084169, "minCash": 13358.323366375525, "minLongOnlyCash": 13281.892430946884, "cycles": 203, "rolls": 9, "theta": { "longOnly": -12678.668409149386, "short": 63492.523436769014, "combined": 50813.8550276196, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 87722.55270363056, "cagr": 0.16424107522657705, "maxDrawdown": -0.21464562715697888 }, "longOnly": { "terminal": 72129.18634712213, "cagr": 0.14478550350140917, "maxDrawdown": -0.32880456278781656 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 15593.366356508428, "netShort": 12969.19269337203, "financingDifference": 2624.1736631365293, "grossPremium": 59267.27289380201, "shortSettlements": 45245.92620453989, "shortFees": 263.2500000000013, "terminalShortLiability": 788.9039958900895, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 14333.58443476418, "longOnlyInterest": 11709.41077162765, "minCash": 13296.713796411019, "minLongOnlyCash": 13216.857506925044, "cycles": 203, "rolls": 9, "theta": { "longOnly": -12936.371070518799, "short": 66904.51234169233, "combined": 53968.14127117348, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 97798.25868295872, "cagr": 0.17519166096042849, "maxDrawdown": -0.18215531960097142 }, "longOnly": { "terminal": 71153.4599291937, "cagr": 0.14344378862622342, "maxDrawdown": -0.33567767855318076 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 26644.79875376502, "netShort": 22313.356774113236, "financingDifference": 4331.441979651801, "grossPremium": 64435.20006014832, "shortSettlements": 41042.36791010451, "shortFees": 263.2500000000013, "terminalShortLiability": 816.2253759305742, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 15747.099091610424, "longOnlyInterest": 11415.657111958622, "minCash": 13176.369273874567, "minLongOnlyCash": 13089.682274513141, "cycles": 203, "rolls": 9, "theta": { "longOnly": -13471.108693045515, "short": 73620.20587147823, "combined": 60149.09717843285, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 112282.73508517559, "cagr": 0.18925047741815426, "maxDrawdown": -0.14567512708428654 }, "longOnly": { "terminal": 69659.1018282481, "cagr": 0.14135594885083802, "maxDrawdown": -0.34630714686347974 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 42623.6332569275, "netShort": 35880.19398404396, "financingDifference": 6743.43927288363, "grossPremium": 72074.62826582951, "shortSettlements": 35072.93561717071, "shortFees": 263.2500000000013, "terminalShortLiability": 858.2486646148396, "fees": 275.6000000000009, "longOnlyFees": 12.350000000000003, "interest": 17726.059870296267, "longOnlyInterest": 10982.620597412637, "minCash": 13002.779611319353, "minLongOnlyCash": 12905.896287731113, "cycles": 203, "rolls": 9, "theta": { "longOnly": -14320.4546635189, "short": 83012.392158563, "combined": 68691.93749504417, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 73426.40144947227, "cagr": 0.1465438384331612, "maxDrawdown": -0.2597226646365143 }, "longOnly": { "terminal": 73570.394061572, "cagr": 0.14673726197564418, "maxDrawdown": -0.3187308864476227 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": -143.99261209974065, "netShort": -468.56312753856093, "financingDifference": 324.5705154389507, "grossPremium": 18256.898691602022, "shortSettlements": 17530.83545456435, "shortFees": 196.95000000000107, "terminalShortLiability": 997.6763645762333, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 12483.684441140085, "longOnlyInterest": 12159.113925701135, "minCash": 13447.394884903237, "minLongOnlyCash": 13414.947182090233, "cycles": 152, "rolls": 9, "theta": { "longOnly": -12183.029191244761, "short": 32592.337888180497, "combined": 20409.308696935692, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 78112.99186099644, "cagr": 0.1526682948617082, "maxDrawdown": -0.24367969465526218 }, "longOnly": { "terminal": 72612.11532416486, "cagr": 0.14544345041194262, "maxDrawdown": -0.3254205989340764 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 5500.87653683158, "netShort": 4247.059017851833, "financingDifference": 1253.817518979904, "grossPremium": 20065.493800218057, "shortSettlements": 14686.089465173196, "shortFees": 196.95000000000107, "terminalShortLiability": 935.3953171930272, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 13111.840958064073, "longOnlyInterest": 11858.023439084169, "minCash": 13317.580399904371, "minLongOnlyCash": 13281.892430946884, "cycles": 152, "rolls": 9, "theta": { "longOnly": -12678.668409149386, "short": 34548.441919631674, "combined": 21869.773510482242, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 80257.26535522359, "cagr": 0.1553591692912364, "maxDrawdown": -0.2370333331320651 }, "longOnly": { "terminal": 72129.18634712213, "cagr": 0.14478550350140917, "maxDrawdown": -0.32880456278781656 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 8128.079008101457, "netShort": 6451.450043808403, "financingDifference": 1676.6289642931933, "grossPremium": 20958.737920975535, "shortSettlements": 13400.518960648698, "shortFees": 196.95000000000107, "terminalShortLiability": 909.8189165184323, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 13386.039735920844, "longOnlyInterest": 11709.41077162765, "minCash": 13254.16096331175, "minLongOnlyCash": 13216.857506925044, "cycles": 152, "rolls": 9, "theta": { "longOnly": -12936.371070518799, "short": 35472.62105367838, "combined": 22536.24998315959, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 84064.84186574325, "cagr": 0.15997940230054697, "maxDrawdown": -0.22601924449231448 }, "longOnly": { "terminal": 71153.4599291937, "cagr": 0.14344378862622342, "maxDrawdown": -0.33567767855318076 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 12911.381936549544, "netShort": 10478.523467303701, "financingDifference": 2432.8584692460045, "grossPremium": 22715.186033803217, "shortSettlements": 11172.417317308174, "shortFees": 196.95000000000107, "terminalShortLiability": 867.2952491913406, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 13848.515581204627, "longOnlyInterest": 11415.657111958622, "minCash": 13130.207454233143, "minLongOnlyCash": 13089.682274513141, "cycles": 152, "rolls": 9, "theta": { "longOnly": -13471.108693045515, "short": 37236.80989678502, "combined": 23765.701203739496, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 88857.51112202922, "cagr": 0.16553044388588267, "maxDrawdown": -0.2144601247883613 }, "longOnly": { "terminal": 69659.1018282481, "cagr": 0.14135594885083802, "maxDrawdown": -0.34630714686347974 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 19198.409293781122, "netShort": 15847.791224232526, "financingDifference": 3350.6180695487674, "grossPremium": 25330.92776271703, "shortSettlements": 8466.358836635574, "shortFees": 196.95000000000107, "terminalShortLiability": 819.8277018489279, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 14333.238666961404, "longOnlyInterest": 10982.620597412637, "minCash": 12951.231042174517, "minLongOnlyCash": 12905.896287731113, "cycles": 152, "rolls": 9, "theta": { "longOnly": -14320.4546635189, "short": 39870.56643318275, "combined": 25550.111769663814, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 73091.38549129444, "cagr": 0.14609247058281793, "maxDrawdown": -0.24643491920141936 }, "longOnly": { "terminal": 73570.394061572, "cagr": 0.14673726197564418, "maxDrawdown": -0.3187308864476227 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": -479.00857027756865, "netShort": -687.5856246649688, "financingDifference": 208.57705438753692, "grossPremium": 26155.857466669477, "shortSettlements": 25230.796039910267, "shortFees": 196.95000000000107, "terminalShortLiability": 1415.6970514241777, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 12367.690980088671, "longOnlyInterest": 12159.113925701135, "minCash": 13404.03012476424, "minLongOnlyCash": 13414.947182090233, "cycles": 152, "rolls": 9, "theta": { "longOnly": -12183.029191244761, "short": 41143.645103309136, "combined": 28960.615912064357, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 80456.76379867806, "cagr": 0.15560617041898195, "maxDrawdown": -0.22372342023566993 }, "longOnly": { "terminal": 72612.11532416486, "cagr": 0.14544345041194262, "maxDrawdown": -0.3254205989340764 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 7844.648474513204, "netShort": 6356.906488302042, "financingDifference": 1487.7419862112893, "grossPremium": 28724.079442198567, "shortSettlements": 20819.50695236332, "shortFees": 196.95000000000107, "terminalShortLiability": 1350.7160015332033, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 13345.765425295458, "longOnlyInterest": 11858.023439084169, "minCash": 13331.327497132614, "minLongOnlyCash": 13281.892430946884, "cycles": 152, "rolls": 9, "theta": { "longOnly": -12678.668409149386, "short": 44283.65415292093, "combined": 31604.98574377151, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 83359.092267794, "cagr": 0.15913766246272876, "maxDrawdown": -0.21522950705980237 }, "longOnly": { "terminal": 72129.18634712213, "cagr": 0.14478550350140917, "maxDrawdown": -0.32880456278781656 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 11229.905920671867, "netShort": 9212.70861224927, "financingDifference": 2017.1973084227193, "grossPremium": 30007.282570799674, "shortSettlements": 19273.577191421122, "shortFees": 196.95000000000107, "terminalShortLiability": 1324.0467671292834, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 13726.60808005037, "longOnlyInterest": 11709.41077162765, "minCash": 13270.66903362677, "minLongOnlyCash": 13216.857506925044, "cycles": 152, "rolls": 9, "theta": { "longOnly": -12936.371070518799, "short": 45716.644533715145, "combined": 32780.273463196434, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 88493.57587521401, "cagr": 0.16511864296011058, "maxDrawdown": -0.19996217678220196 }, "longOnly": { "terminal": 71153.4599291937, "cagr": 0.14344378862622342, "maxDrawdown": -0.33567767855318076 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 17340.115946020305, "netShort": 14321.588550875042, "financingDifference": 3018.527395145413, "grossPremium": 32566.03586293993, "shortSettlements": 16767.581902335252, "shortFees": 196.95000000000107, "terminalShortLiability": 1279.9154097296366, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 14434.184507104035, "longOnlyInterest": 11415.657111958622, "minCash": 13148.109906108006, "minLongOnlyCash": 13089.682274513141, "cycles": 152, "rolls": 9, "theta": { "longOnly": -13471.108693045515, "short": 48512.692088448945, "combined": 35041.58339540343, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 95568.77524483032, "cagr": 0.1728605216790231, "maxDrawdown": -0.18120997909751313 }, "longOnly": { "terminal": 69659.1018282481, "cagr": 0.14135594885083802, "maxDrawdown": -0.34630714686347974 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 25909.673416582227, "netShort": 21522.629124423365, "financingDifference": 4387.044292158924, "grossPremium": 36306.68943000938, "shortSettlements": 13355.651798775612, "shortFees": 196.95000000000107, "terminalShortLiability": 1231.458506810398, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 15369.66488957156, "longOnlyInterest": 10982.620597412637, "minCash": 12971.213074910182, "minLongOnlyCash": 12905.896287731113, "cycles": 152, "rolls": 9, "theta": { "longOnly": -14320.4546635189, "short": 52590.34924280497, "combined": 38269.8945792862, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 71694.78737243527, "cagr": 0.14419022586545305, "maxDrawdown": -0.23592935672302595 }, "longOnly": { "terminal": 73570.394061572, "cagr": 0.14673726197564418, "maxDrawdown": -0.3187308864476227 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": -1875.6066891367373, "netShort": -1926.1631503612475, "financingDifference": 50.55646122458529, "grossPremium": 34770.44667235895, "shortSettlements": 34649.406736988, "shortFees": 196.95000000000107, "terminalShortLiability": 1850.2530857321972, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 12209.67038692572, "longOnlyInterest": 12159.113925701135, "minCash": 13360.428716722867, "minLongOnlyCash": 13414.947182090233, "cycles": 152, "rolls": 9, "theta": { "longOnly": -12183.029191244761, "short": 46968.794477796, "combined": 34785.7652865514, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 80121.38736764995, "cagr": 0.15519061588264793, "maxDrawdown": -0.20588041193951845 }, "longOnly": { "terminal": 72612.11532416486, "cagr": 0.14544345041194262, "maxDrawdown": -0.3254205989340764 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 7509.272043485093, "netShort": 6074.569804687868, "financingDifference": 1434.702238797372, "grossPremium": 38267.538492026855, "shortSettlements": 30205.982067085828, "shortFees": 196.95000000000107, "terminalShortLiability": 1790.0366202531586, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 13292.72567788154, "longOnlyInterest": 11858.023439084169, "minCash": 13282.831559596405, "minLongOnlyCash": 13281.892430946884, "cycles": 152, "rolls": 9, "theta": { "longOnly": -12678.668409149386, "short": 51980.87641677519, "combined": 39302.20800762581, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 84117.76876373556, "cagr": 0.16004226701792268, "maxDrawdown": -0.1940361238588001 }, "longOnly": { "terminal": 72129.18634712213, "cagr": 0.14478550350140917, "maxDrawdown": -0.32880456278781656 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 11988.582416613426, "netShort": 9871.531656421856, "financingDifference": 2117.0507601916815, "grossPremium": 39965.97040313339, "shortSettlements": 28131.869589850456, "shortFees": 196.95000000000107, "terminalShortLiability": 1765.619156861078, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 13826.461531819332, "longOnlyInterest": 11709.41077162765, "minCash": 13245.664924136572, "minLongOnlyCash": 13216.857506925044, "cycles": 152, "rolls": 9, "theta": { "longOnly": -12936.371070518799, "short": 54478.557382877014, "combined": 41542.18631235822, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 91867.42267994052, "cagr": 0.1688783401369398, "maxDrawdown": -0.17396251569186905 }, "longOnly": { "terminal": 71153.4599291937, "cagr": 0.14344378862622342, "maxDrawdown": -0.33567767855318076 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 20713.96275074681, "netShort": 17253.416111747236, "financingDifference": 3460.5466389996764, "grossPremium": 43355.61421986956, "shortSettlements": 24179.31636533993, "shortFees": 196.95000000000107, "terminalShortLiability": 1725.931742782393, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 14876.203750958299, "longOnlyInterest": 11415.657111958622, "minCash": 13167.856003075678, "minLongOnlyCash": 13089.682274513141, "cycles": 152, "rolls": 9, "theta": { "longOnly": -13471.108693045515, "short": 59352.559902057204, "combined": 45881.45120901178, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 101837.47521589846, "cagr": 0.1792940165463861, "maxDrawdown": -0.15122718081376707 }, "longOnly": { "terminal": 69659.1018282481, "cagr": 0.14135594885083802, "maxDrawdown": -0.34630714686347974 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 32178.37338765037, "netShort": 26972.253464900023, "financingDifference": 5206.119922750317, "grossPremium": 48395.14735843042, "shortSettlements": 19541.643665465184, "shortFees": 196.95000000000107, "terminalShortLiability": 1684.3002280652115, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 16188.740520162954, "longOnlyInterest": 10982.620597412637, "minCash": 12993.247484429914, "minLongOnlyCash": 12905.896287731113, "cycles": 152, "rolls": 9, "theta": { "longOnly": -14320.4546635189, "short": 64968.55966510469, "combined": 50648.10500158594, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 69542.45644109027, "cagr": 0.1411912604918899, "maxDrawdown": -0.2265190144490422 }, "longOnly": { "terminal": 73570.394061572, "cagr": 0.14673726197564418, "maxDrawdown": -0.3187308864476227 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": -4027.937620481738, "netShort": -3845.8129070250147, "financingDifference": -182.12471345662743, "grossPremium": 44126.35150150915, "shortSettlements": 45477.248573327095, "shortFees": 196.95000000000107, "terminalShortLiability": 2297.9658352070655, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 11976.989212244507, "longOnlyInterest": 12159.113925701135, "minCash": 13316.070350336042, "minLongOnlyCash": 13414.947182090233, "cycles": 152, "rolls": 9, "theta": { "longOnly": -12183.029191244761, "short": 52196.113011023415, "combined": 40013.083819778636, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 78890.4012230474, "cagr": 0.15365158878394913, "maxDrawdown": -0.19415285334935783 }, "longOnly": { "terminal": 72612.11532416486, "cagr": 0.14544345041194262, "maxDrawdown": -0.3254205989340764 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 6278.2858988825465, "netShort": 4943.553511334888, "financingDifference": 1334.7323875477578, "grossPremium": 48591.69856425178, "shortSettlements": 41202.17351737125, "shortFees": 196.95000000000107, "terminalShortLiability": 2249.021535545643, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 13192.755826631927, "longOnlyInterest": 11858.023439084169, "minCash": 13249.944307089954, "minLongOnlyCash": 13281.892430946884, "cycles": 152, "rolls": 9, "theta": { "longOnly": -12678.668409149386, "short": 58029.02595453002, "combined": 45350.35754538047, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 83431.30949026492, "cagr": 0.15922409365775048, "maxDrawdown": -0.17986083336937342 }, "longOnly": { "terminal": 72129.18634712213, "cagr": 0.14478550350140917, "maxDrawdown": -0.32880456278781656 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 11302.123143142788, "netShort": 9224.370065253546, "financingDifference": 2077.7530778893615, "grossPremium": 50808.3010724725, "shortSettlements": 39157.12915185927, "shortFees": 196.95000000000107, "terminalShortLiability": 2229.8518553596864, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 13787.163849517012, "longOnlyInterest": 11709.41077162765, "minCash": 13211.052870826108, "minLongOnlyCash": 13216.857506925044, "cycles": 152, "rolls": 9, "theta": { "longOnly": -12936.371070518799, "short": 60916.70265262083, "combined": 47980.33158210217, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 92372.47316768568, "cagr": 0.16943025689638858, "maxDrawdown": -0.15396213115874624 }, "longOnly": { "terminal": 71153.4599291937, "cagr": 0.14344378862622342, "maxDrawdown": -0.33567767855318076 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 21219.01323849197, "netShort": 17668.156192792074, "financingDifference": 3550.8570456999223, "grossPremium": 55168.18979394659, "shortSettlements": 35102.91412214053, "shortFees": 196.95000000000107, "terminalShortLiability": 2200.169479013988, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 14966.514157658545, "longOnlyInterest": 11415.657111958622, "minCash": 13136.383315483625, "minLongOnlyCash": 13089.682274513141, "cycles": 152, "rolls": 9, "theta": { "longOnly": -13471.108693045515, "short": 66821.07661018429, "combined": 53349.967917138696, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 105366.33437895599, "cagr": 0.18275809171660762, "maxDrawdown": -0.12138023405488085 }, "longOnly": { "terminal": 69659.1018282481, "cagr": 0.14135594885083802, "maxDrawdown": -0.34630714686347974 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 35707.23255070789, "netShort": 29952.32401508736, "financingDifference": 5754.908535620541, "grossPremium": 61571.5381576321, "shortSettlements": 29249.438813660017, "shortFees": 196.95000000000107, "terminalShortLiability": 2172.8253288847213, "fees": 209.30000000000118, "longOnlyFees": 12.350000000000003, "interest": 16737.52913303318, "longOnlyInterest": 10982.620597412637, "minCash": 13017.401847874971, "minLongOnlyCash": 12905.896287731113, "cycles": 152, "rolls": 9, "theta": { "longOnly": -14320.4546635189, "short": 75640.5850640322, "combined": 61320.13040051328, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 74224.40055190989, "cagr": 0.1476114497326284, "maxDrawdown": -0.25942631167442565 }, "longOnly": { "terminal": 73570.394061572, "cagr": 0.14673726197564418, "maxDrawdown": -0.3187308864476227 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 654.0064903378807, "netShort": 139.79156753352444, "financingDifference": 514.2149228044364, "grossPremium": 14472.123823055517, "shortSettlements": 14206.098607678383, "shortFees": 124.15000000000043, "terminalShortLiability": 2.083647843609504, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 12673.328848505571, "longOnlyInterest": 12159.113925701135, "minCash": 13454.662079627285, "minLongOnlyCash": 13414.947182090233, "cycles": 96, "rolls": 9, "theta": { "longOnly": -12183.029191244761, "short": 24170.371880744337, "combined": 11987.342689499592, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 77892.74046749651, "cagr": 0.15238808752133903, "maxDrawdown": -0.25151101225027717 }, "longOnly": { "terminal": 72612.11532416486, "cagr": 0.14544345041194262, "maxDrawdown": -0.3254205989340764 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 5280.62514333165, "netShort": 4131.237037028168, "financingDifference": 1149.3881063035587, "grossPremium": 15900.634082781446, "shortSettlements": 11643.114064155265, "shortFees": 124.15000000000043, "terminalShortLiability": 2.1329815980128286, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 13007.411545387728, "longOnlyInterest": 11858.023439084169, "minCash": 13325.540390553735, "minLongOnlyCash": 13281.892430946884, "cycles": 96, "rolls": 9, "theta": { "longOnly": -12678.668409149386, "short": 25926.418774557707, "combined": 13247.750365408298, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 79616.60913902888, "cagr": 0.1545621540983011, "maxDrawdown": -0.24790380018889702 }, "longOnly": { "terminal": 72129.18634712213, "cagr": 0.14478550350140917, "maxDrawdown": -0.32880456278781656 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 7487.422791906749, "netShort": 6036.699401706187, "financingDifference": 1450.7233902006137, "grossPremium": 16592.2431389764, "shortSettlements": 10429.238691513576, "shortFees": 124.15000000000043, "terminalShortLiability": 2.155045756635565, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 13160.134161828264, "longOnlyInterest": 11709.41077162765, "minCash": 13262.46511511019, "minLongOnlyCash": 13216.857506925044, "cycles": 96, "rolls": 9, "theta": { "longOnly": -12936.371070518799, "short": 26728.1762642213, "combined": 13791.805193702496, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 82647.68692291698, "cagr": 0.15828255973497862, "maxDrawdown": -0.2418919592566715 }, "longOnly": { "terminal": 71153.4599291937, "cagr": 0.14344378862622342, "maxDrawdown": -0.33567767855318076 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 11494.226993723278, "netShort": 9494.992325443127, "financingDifference": 1999.2346682802618, "grossPremium": 17967.770810267815, "shortSettlements": 8346.434473191443, "shortFees": 124.15000000000043, "terminalShortLiability": 2.194011633246462, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 13414.891780238884, "longOnlyInterest": 11415.657111958622, "minCash": 13139.195486847417, "minLongOnlyCash": 13089.682274513141, "cycles": 96, "rolls": 9, "theta": { "longOnly": -13471.108693045515, "short": 28122.298937642874, "combined": 14651.190244597337, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 86604.3671756548, "cagr": 0.16295576488662156, "maxDrawdown": -0.23478249055891676 }, "longOnly": { "terminal": 69659.1018282481, "cagr": 0.14135594885083802, "maxDrawdown": -0.34630714686347974 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 16945.265347406705, "netShort": 14213.581862789897, "financingDifference": 2731.6834846168913, "grossPremium": 20012.078863675775, "shortSettlements": 5672.107063365629, "shortFees": 124.15000000000043, "terminalShortLiability": 2.2399375202487803, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 13714.304082029528, "longOnlyInterest": 10982.620597412637, "minCash": 12961.233887840082, "minLongOnlyCash": 12905.896287731113, "cycles": 96, "rolls": 9, "theta": { "longOnly": -14320.4546635189, "short": 30143.768540024164, "combined": 15823.313876505294, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 73522.24941363944, "cagr": 0.14667262837967132, "maxDrawdown": -0.23875737879861503 }, "longOnly": { "terminal": 73570.394061572, "cagr": 0.14673726197564418, "maxDrawdown": -0.3187308864476227 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": -48.14464793256775, "netShort": -590.2262197066339, "financingDifference": 542.0815717741352, "grossPremium": 20702.757938513223, "shortSettlements": 21158.078981735285, "shortFees": 124.15000000000043, "terminalShortLiability": 10.755176484571294, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 12701.19549747527, "longOnlyInterest": 12159.113925701135, "minCash": 13472.21443462338, "minLongOnlyCash": 13414.947182090233, "cycles": 96, "rolls": 9, "theta": { "longOnly": -12183.029191244761, "short": 30695.28739571869, "combined": 18512.25820447388, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 79045.93721686247, "cagr": 0.1538472523816372, "maxDrawdown": -0.22552095903488079 }, "longOnly": { "terminal": 72612.11532416486, "cagr": 0.14544345041194262, "maxDrawdown": -0.3254205989340764 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 6433.8218926976115, "netShort": 4965.441761568404, "financingDifference": 1468.3801311292573, "grossPremium": 22733.042533565877, "shortSettlements": 17632.338024152305, "shortFees": 124.15000000000043, "terminalShortLiability": 11.112747845166826, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 13326.403570213426, "longOnlyInterest": 11858.023439084169, "minCash": 13344.793901266958, "minLongOnlyCash": 13281.892430946884, "cycles": 96, "rolls": 9, "theta": { "longOnly": -12678.668409149386, "short": 33075.07909299836, "combined": 20396.410683849015, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 81639.20653464267, "cagr": 0.15705877638579557, "maxDrawdown": -0.2197792348685068 }, "longOnly": { "terminal": 72129.18634712213, "cagr": 0.14478550350140917, "maxDrawdown": -0.32880456278781656 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 9510.020187520538, "netShort": 7615.013173969575, "financingDifference": 1895.0070135510487, "grossPremium": 23747.340632384457, "shortSettlements": 15996.90022995963, "shortFees": 124.15000000000043, "terminalShortLiability": 11.27722845525092, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 13604.417785178699, "longOnlyInterest": 11709.41077162765, "minCash": 13282.565618543515, "minLongOnlyCash": 13216.857506925044, "cycles": 96, "rolls": 9, "theta": { "longOnly": -12936.371070518799, "short": 34235.37583396243, "combined": 21299.004763443692, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 85944.13892466252, "cagr": 0.1621897191565267, "maxDrawdown": -0.2106111109214761 }, "longOnly": { "terminal": 71153.4599291937, "cagr": 0.14344378862622342, "maxDrawdown": -0.33567767855318076 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 14790.678995468814, "netShort": 12170.482202235427, "financingDifference": 2620.1967932334683, "grossPremium": 25743.2262401446, "shortSettlements": 13437.016034639291, "shortFees": 124.15000000000043, "terminalShortLiability": 11.578003269880721, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 14035.85390519209, "longOnlyInterest": 11415.657111958622, "minCash": 13160.982848652731, "minLongOnlyCash": 13089.682274513141, "cycles": 96, "rolls": 9, "theta": { "longOnly": -13471.108693045515, "short": 36519.63078303169, "combined": 23048.52208998615, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 91466.37641109979, "cagr": 0.16843809993001813, "maxDrawdown": -0.19892200552791162 }, "longOnly": { "terminal": 69659.1018282481, "cagr": 0.14135594885083802, "maxDrawdown": -0.34630714686347974 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 21807.274582851693, "netShort": 18212.996558947092, "financingDifference": 3594.2780239046624, "grossPremium": 28662.747227914675, "shortSettlements": 10313.639806167032, "shortFees": 124.15000000000043, "terminalShortLiability": 11.960862800548977, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 14576.8986213173, "longOnlyInterest": 10982.620597412637, "minCash": 12985.533848046824, "minLongOnlyCash": 12905.896287731113, "cycles": 96, "rolls": 9, "theta": { "longOnly": -14320.4546635189, "short": 40005.215036084766, "combined": 25684.760372565856, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 72040.42461212295, "cagr": 0.144664135900876, "maxDrawdown": -0.22566740368963067 }, "longOnly": { "terminal": 73570.394061572, "cagr": 0.14673726197564418, "maxDrawdown": -0.3187308864476227 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": -1529.969449449054, "netShort": -1869.7446595815843, "financingDifference": 339.77521013257683, "grossPremium": 27566.854830358505, "shortSettlements": 29275.874986468938, "shortFees": 124.15000000000043, "terminalShortLiability": 36.57450347115052, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 12498.889135833711, "longOnlyInterest": 12159.113925701135, "minCash": 13491.575480541253, "minLongOnlyCash": 13414.947182090233, "cycles": 96, "rolls": 9, "theta": { "longOnly": -12183.029191244761, "short": 35876.43460856032, "combined": 23693.40541731548, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 78562.18554962889, "cagr": 0.15323753531969087, "maxDrawdown": -0.2061904981078152 }, "longOnly": { "terminal": 72612.11532416486, "cagr": 0.14544345041194262, "maxDrawdown": -0.3254205989340764 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 5950.070225464035, "netShort": 4486.126179427387, "financingDifference": 1463.944046036726, "grossPremium": 30247.373584315494, "shortSettlements": 25599.016586902504, "shortFees": 124.15000000000043, "terminalShortLiability": 38.08081798560181, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 13321.967485120895, "longOnlyInterest": 11858.023439084169, "minCash": 13366.027122419859, "minLongOnlyCash": 13281.892430946884, "cycles": 96, "rolls": 9, "theta": { "longOnly": -12678.668409149386, "short": 39465.39466271386, "combined": 26786.726253564357, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 81800.2640169506, "cagr": 0.15725514221971437, "maxDrawdown": -0.1978201337194223 }, "longOnly": { "terminal": 72129.18634712213, "cagr": 0.14478550350140917, "maxDrawdown": -0.32880456278781656 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 9671.077669828475, "netShort": 7647.169072981616, "financingDifference": 2023.9085968469117, "grossPremium": 31584.469623794528, "shortSettlements": 23774.365913013637, "shortFees": 124.15000000000043, "terminalShortLiability": 38.78463779927479, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 13733.319368474562, "longOnlyInterest": 11709.41077162765, "minCash": 13304.730696105362, "minLongOnlyCash": 13216.857506925044, "cycles": 96, "rolls": 9, "theta": { "longOnly": -12936.371070518799, "short": 41277.0671938468, "combined": 28340.69612332795, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 87950.76004173802, "cagr": 0.1645015496645339, "maxDrawdown": -0.1835149122965115 }, "longOnly": { "terminal": 71153.4599291937, "cagr": 0.14344378862622342, "maxDrawdown": -0.33567767855318076 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 16797.30011254431, "netShort": 13722.373831039878, "financingDifference": 3074.9262815044585, "grossPremium": 34251.359756165664, "shortSettlements": 20364.740634336573, "shortFees": 124.15000000000043, "terminalShortLiability": 40.09529078921261, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 14490.583393463081, "longOnlyInterest": 11415.657111958622, "minCash": 13185.003230537386, "minLongOnlyCash": 13089.682274513141, "cycles": 96, "rolls": 9, "theta": { "longOnly": -13471.108693045515, "short": 44587.457353698876, "combined": 31116.34866065333, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 95926.57799632507, "cagr": 0.17323796499362842, "maxDrawdown": -0.16702546559902665 }, "longOnly": { "terminal": 69659.1018282481, "cagr": 0.14135594885083802, "maxDrawdown": -0.34630714686347974 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 26267.476168076973, "netShort": 21843.534023052234, "financingDifference": 4423.942145024766, "grossPremium": 38180.94162466134, "shortSettlements": 16171.431622742166, "shortFees": 124.15000000000043, "terminalShortLiability": 41.825978866937064, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 15406.562742437403, "longOnlyInterest": 10982.620597412637, "minCash": 13012.31632548839, "minLongOnlyCash": 12905.896287731113, "cycles": 96, "rolls": 9, "theta": { "longOnly": -14320.4546635189, "short": 49076.65146919475, "combined": 34756.19680567595, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 69458.59659313045, "cagr": 0.14107270505744762, "maxDrawdown": -0.22628533540138884 }, "longOnly": { "terminal": 73570.394061572, "cagr": 0.14673726197564418, "maxDrawdown": -0.3187308864476227 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": -4111.797468441553, "netShort": -4006.3556306945525, "financingDifference": -105.44183774693556, "grossPremium": 34997.42393049517, "shortSettlements": 38784.10097703428, "shortFees": 124.15000000000043, "terminalShortLiability": 95.52858415544279, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 12053.672087954199, "longOnlyInterest": 12159.113925701135, "minCash": 13512.805569954573, "minLongOnlyCash": 13414.947182090233, "cycles": 96, "rolls": 9, "theta": { "longOnly": -12183.029191244761, "short": 40329.627287137824, "combined": 28146.598095892936, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 77441.98423886317, "cagr": 0.151812363682867, "maxDrawdown": -0.19624194447866117 }, "longOnly": { "terminal": 72612.11532416486, "cagr": 0.14544345041194262, "maxDrawdown": -0.3254205989340764 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 4829.868914698309, "netShort": 3540.7081838086497, "financingDifference": 1289.160730889722, "grossPremium": 38474.640433754335, "shortSettlements": 34709.66586219515, "shortFees": 124.15000000000043, "terminalShortLiability": 100.11638775053484, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 13147.18416997389, "longOnlyInterest": 11858.023439084169, "minCash": 13389.305560520113, "minLongOnlyCash": 13281.892430946884, "cycles": 96, "rolls": 9, "theta": { "longOnly": -12678.668409149386, "short": 44856.98069627069, "combined": 32178.31228712136, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 81291.50951821156, "cagr": 0.15663364434593263, "maxDrawdown": -0.18291318559637282 }, "longOnly": { "terminal": 72129.18634712213, "cagr": 0.14478550350140917, "maxDrawdown": -0.32880456278781656 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 9162.323171089432, "netShort": 7201.84253500571, "financingDifference": 1960.4806360838047, "grossPremium": 40163.864432915, "shortSettlements": 32735.588671729805, "shortFees": 124.15000000000043, "terminalShortLiability": 102.2832261794818, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 13669.891407711455, "longOnlyInterest": 11709.41077162765, "minCash": 13329.028374758036, "minLongOnlyCash": 13216.857506925044, "cycles": 96, "rolls": 9, "theta": { "longOnly": -12936.371070518799, "short": 46987.82046166925, "combined": 34051.44939115046, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 88422.60285224496, "cagr": 0.16503815508115505, "maxDrawdown": -0.16017949852664615 }, "longOnly": { "terminal": 71153.4599291937, "cagr": 0.14344378862622342, "maxDrawdown": -0.33567767855318076 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 17269.14292305126, "netShort": 14080.73892030422, "financingDifference": 3188.40400274708, "grossPremium": 43529.69864132772, "shortSettlements": 29218.4424686478, "shortFees": 124.15000000000043, "terminalShortLiability": 106.36725237569706, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 14604.061114705702, "longOnlyInterest": 11415.657111958622, "minCash": 13211.329588833978, "minLongOnlyCash": 13089.682274513141, "cycles": 96, "rolls": 9, "theta": { "longOnly": -13471.108693045515, "short": 51087.97074381728, "combined": 37616.86205077162, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2015, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2015-01-02", "end": "2026-08-14", "years": 11.613963039014374, "pmcc": { "terminal": 97849.0242946524, "cagr": 0.17524417359074018, "maxDrawdown": -0.13942481341643553 }, "longOnly": { "terminal": 69659.1018282481, "cagr": 0.14135594885083802, "maxDrawdown": -0.34630714686347974 }, "stock": { "terminal": 115967.78912150284, "cagr": 0.19256176284796678, "maxDrawdown": -0.35118710608816994 }, "contribution": 28189.9224664043, "netShort": 23376.76491423263, "financingDifference": 4813.157552171662, "grossPremium": 48544.04578045935, "shortSettlements": 24931.244416196474, "shortFees": 124.15000000000043, "terminalShortLiability": 111.88645003024646, "fees": 136.50000000000054, "longOnlyFees": 12.350000000000003, "interest": 15795.7781495843, "longOnlyInterest": 10982.620597412637, "minCash": 13041.661396098327, "minLongOnlyCash": 12905.896287731113, "cycles": 96, "rolls": 9, "theta": { "longOnly": -14320.4546635189, "short": 57493.23032943699, "combined": 43172.77566591808, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 40347.751451675875, "cagr": 0.1613580491068658, "maxDrawdown": -0.21905411890324422 }, "longOnly": { "terminal": 38296.001685813346, "cagr": 0.15223088281239283, "maxDrawdown": -0.26180559087873545 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 2051.749765862529, "netShort": 1730.2528927520852, "financingDifference": 321.4968731105255, "grossPremium": 8285.547942668452, "shortSettlements": 6208.635246597676, "shortFees": 150.15000000000066, "terminalShortLiability": 196.5098033186905, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5313.995714532122, "longOnlyInterest": 4992.498841421597, "minCash": 13852.74464811828, "minLongOnlyCash": 14004.072429268215, "cycles": 116, "rolls": 5, "theta": { "longOnly": -4506.994017487949, "short": 14149.22993334796, "combined": 9642.235915860037, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 42590.97108580987, "cagr": 0.17089670646729238, "maxDrawdown": -0.20526605494659134 }, "longOnly": { "terminal": 37926.49079912163, "cagr": 0.1505431952755536, "maxDrawdown": -0.2669333550922971 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 4664.480286688238, "netShort": 4051.2110165923805, "financingDifference": 613.2692700959469, "grossPremium": 9090.108575682518, "shortSettlements": 4684.378272387959, "shortFees": 150.15000000000066, "terminalShortLiability": 204.36928670217753, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5503.285704279457, "longOnlyInterest": 4890.01643418351, "minCash": 13820.284363730312, "minLongOnlyCash": 13914.38861243001, "cycles": 116, "rolls": 5, "theta": { "longOnly": -4700.2414783298445, "short": 15215.602722485997, "combined": 10515.361244156153, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 43589.10666348734, "cagr": 0.17500446245145063, "maxDrawdown": -0.19909499369382233 }, "longOnly": { "terminal": 37743.370127238704, "cagr": 0.14970164004292874, "maxDrawdown": -0.2694366459352858 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 5845.736536248638, "netShort": 5096.364711934613, "financingDifference": 749.371824314132, "grossPremium": 9490.807395458964, "shortSettlements": 4035.8682683012016, "shortFees": 150.15000000000066, "terminalShortLiability": 208.42441522314843, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5589.34329144267, "longOnlyInterest": 4839.971467128538, "minCash": 13804.75289695046, "minLongOnlyCash": 13870.16130930759, "cycles": 116, "rolls": 5, "theta": { "longOnly": -4800.831804204949, "short": 15699.255609542266, "combined": 10898.423805337314, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 45273.162062509495, "cagr": 0.18175749437738387, "maxDrawdown": -0.18814337984421603 }, "longOnly": { "terminal": 37378.306111100705, "cagr": 0.14801354619498808, "maxDrawdown": -0.2743733992024975 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 7894.85595140879, "netShort": 6915.511097632203, "financingDifference": 979.344853776709, "grossPremium": 10289.064753203933, "shortSettlements": 3006.6832116609207, "shortFees": 150.15000000000066, "terminalShortLiability": 216.72044391080902, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5721.296244854349, "longOnlyInterest": 4741.95139107764, "minCash": 13775.06528457171, "minLongOnlyCash": 13653.596110657221, "cycles": 116, "rolls": 5, "theta": { "longOnly": -5009.689882212027, "short": 16497.493974820194, "combined": 11487.80409260817, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 47208.36514569454, "cagr": 0.1892592241516462, "maxDrawdown": -0.17668245436020402 }, "longOnly": { "terminal": 36828.832839321665, "cagr": 0.1454461490912542, "maxDrawdown": -0.2817076223124354 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 10379.532306372872, "netShort": 9128.877453872668, "financingDifference": 1250.654852500349, "grossPremium": 11478.667336850389, "shortSettlements": 1970.14660689254, "shortFees": 150.15000000000066, "terminalShortLiability": 229.49327608517933, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5849.996092671796, "longOnlyInterest": 4599.341240171447, "minCash": 13678.173023487687, "minLongOnlyCash": 13190.444669349885, "cycles": 116, "rolls": 5, "theta": { "longOnly": -5341.4987530949775, "short": 17631.501606872822, "combined": 12290.002853777885, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 40128.584283014, "cagr": 0.16040213470148745, "maxDrawdown": -0.21826963275054945 }, "longOnly": { "terminal": 38296.001685813346, "cagr": 0.15223088281239283, "maxDrawdown": -0.26180559087873545 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 1832.582597200657, "netShort": 1543.258083971205, "financingDifference": 289.32451322951965, "grossPremium": 11886.010892944438, "shortSettlements": 9908.27688972572, "shortFees": 150.15000000000066, "terminalShortLiability": 284.32591924751307, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5281.8233546511165, "longOnlyInterest": 4992.498841421597, "minCash": 13789.00911825883, "minLongOnlyCash": 14004.072429268215, "cycles": 116, "rolls": 5, "theta": { "longOnly": -4506.994017487949, "short": 16909.91962714494, "combined": 12402.925609657017, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 43124.92075116944, "cagr": 0.17310418010576445, "maxDrawdown": -0.19779718395082546 }, "longOnly": { "terminal": 37926.49079912163, "cagr": 0.1505431952755536, "maxDrawdown": -0.2669333550922971 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 5198.429952047809, "netShort": 4516.772707919902, "financingDifference": 681.6572441280041, "grossPremium": 13038.106039396673, "shortSettlements": 8074.205261022955, "shortFees": 150.15000000000066, "terminalShortLiability": 296.97807045381523, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5571.673678311514, "longOnlyInterest": 4890.01643418351, "minCash": 13749.896126764828, "minLongOnlyCash": 13914.38861243001, "cycles": 116, "rolls": 5, "theta": { "longOnly": -4700.2414783298445, "short": 18691.241441418395, "combined": 13990.999963088507, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 44516.71793703067, "cagr": 0.17875101403765314, "maxDrawdown": -0.1882486810467312 }, "longOnly": { "terminal": 37743.370127238704, "cagr": 0.14970164004292874, "maxDrawdown": -0.2694366459352858 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 6773.347809791965, "netShort": 5910.7582330068435, "financingDifference": 862.5895767852544, "grossPremium": 13611.75168185917, "shortSettlements": 7247.401703646511, "shortFees": 150.15000000000066, "terminalShortLiability": 303.44174520581504, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5702.561043913793, "longOnlyInterest": 4839.971467128538, "minCash": 13731.018923341398, "minLongOnlyCash": 13870.16130930759, "cycles": 116, "rolls": 5, "theta": { "longOnly": -4800.831804204949, "short": 19599.082920261288, "combined": 14798.251116056344, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 47092.743876046676, "cagr": 0.18881842528184833, "maxDrawdown": -0.17075310633001917 }, "longOnly": { "terminal": 37378.306111100705, "cagr": 0.14801354619498808, "maxDrawdown": -0.2743733992024975 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 9714.437764945971, "netShort": 8515.902896498426, "financingDifference": 1198.5348684476394, "grossPremium": 14754.275358539415, "shortSettlements": 5771.653115547986, "shortFees": 150.15000000000066, "terminalShortLiability": 316.56934649300155, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5940.48625952528, "longOnlyInterest": 4741.95139107764, "minCash": 13694.6009155714, "minLongOnlyCash": 13653.596110657221, "cycles": 116, "rolls": 5, "theta": { "longOnly": -5009.689882212027, "short": 21270.803029690724, "combined": 16261.113147478698, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 50413.85502594627, "cagr": 0.20112948160171218, "maxDrawdown": -0.15235739296263462 }, "longOnly": { "terminal": 36828.832839321665, "cagr": 0.1454461490912542, "maxDrawdown": -0.2817076223124354 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 13585.022186624607, "netShort": 11949.780676889533, "financingDifference": 1635.2415097351804, "grossPremium": 16456.249140413198, "shortSettlements": 4019.7143801055645, "shortFees": 150.15000000000066, "terminalShortLiability": 336.60408341809926, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 6234.582749906627, "longOnlyInterest": 4599.341240171447, "minCash": 13643.25007300007, "minLongOnlyCash": 13190.444669349885, "cycles": 116, "rolls": 5, "theta": { "longOnly": -5341.4987530949775, "short": 23320.0602132591, "combined": 17978.561460164125, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 39661.77865334401, "cagr": 0.1583512637002753, "maxDrawdown": -0.21387080086516164 }, "longOnly": { "terminal": 38296.001685813346, "cagr": 0.15223088281239283, "maxDrawdown": -0.26180559087873545 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 1365.7769675306627, "netShort": 1140.6015258819912, "financingDifference": 225.17544164872925, "grossPremium": 15856.330553081492, "shortSettlements": 14184.981162872817, "shortFees": 150.15000000000066, "terminalShortLiability": 380.59786432668403, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5217.674283070326, "longOnlyInterest": 4992.498841421597, "minCash": 13741.935597045249, "minLongOnlyCash": 14004.072429268215, "cycles": 116, "rolls": 5, "theta": { "longOnly": -4506.994017487949, "short": 19589.38467802064, "combined": 15082.39066053271, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 43167.459092376135, "cagr": 0.17327904409341577, "maxDrawdown": -0.1919482006539961 }, "longOnly": { "terminal": 37926.49079912163, "cagr": 0.1505431952755536, "maxDrawdown": -0.2669333550922971 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 5240.968293254504, "netShort": 4568.647202854488, "financingDifference": 672.3210904001153, "grossPremium": 17390.68446852584, "shortSettlements": 12272.945470041957, "shortFees": 150.15000000000066, "terminalShortLiability": 398.94179562939485, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5562.337524583625, "longOnlyInterest": 4890.01643418351, "minCash": 13697.896037884662, "minLongOnlyCash": 13914.38861243001, "cycles": 116, "rolls": 5, "theta": { "longOnly": -4700.2414783298445, "short": 21662.697166290458, "combined": 16962.455687960617, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 44924.01702499348, "cagr": 0.1803751615668583, "maxDrawdown": -0.1813750607733935 }, "longOnly": { "terminal": 37743.370127238704, "cagr": 0.14970164004292874, "maxDrawdown": -0.2694366459352858 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 7180.6468977547775, "netShort": 6284.178094330665, "financingDifference": 896.4688034242299, "grossPremium": 18154.492918624794, "shortSettlements": 11311.911582612172, "shortFees": 150.15000000000066, "terminalShortLiability": 408.25324168195607, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5736.440270552768, "longOnlyInterest": 4839.971467128538, "minCash": 13676.540386646491, "minLongOnlyCash": 13870.16130930759, "cycles": 116, "rolls": 5, "theta": { "longOnly": -4800.831804204949, "short": 22706.984188306367, "combined": 17906.152384101435, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 48259.08825328743, "cagr": 0.19322358475714152, "maxDrawdown": -0.16103937637934984 }, "longOnly": { "terminal": 37378.306111100705, "cagr": 0.14801354619498808, "maxDrawdown": -0.2743733992024975 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 10880.782142186727, "netShort": 9552.082402293745, "financingDifference": 1328.6997398930816, "grossPremium": 19675.425897792764, "shortSettlements": 9546.119883224554, "shortFees": 150.15000000000066, "terminalShortLiability": 427.0736122744637, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 6070.651130970722, "longOnlyInterest": 4741.95139107764, "minCash": 13635.13505799841, "minLongOnlyCash": 13653.596110657221, "cycles": 116, "rolls": 5, "theta": { "longOnly": -5009.689882212027, "short": 24860.06613291054, "combined": 19850.376250698497, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 52678.22833919564, "cagr": 0.20913425110161543, "maxDrawdown": -0.1336788507874327 }, "longOnly": { "terminal": 36828.832839321665, "cagr": 0.1454461490912542, "maxDrawdown": -0.2817076223124354 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 15849.395499873972, "netShort": 13947.312989702259, "financingDifference": 1902.0825101718165, "grossPremium": 21940.272607625746, "shortSettlements": 7387.183569092541, "shortFees": 150.15000000000066, "terminalShortLiability": 455.6260488309448, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 6501.423750343263, "longOnlyInterest": 4599.341240171447, "minCash": 13576.226876475368, "minLongOnlyCash": 13190.444669349885, "cycles": 116, "rolls": 5, "theta": { "longOnly": -5341.4987530949775, "short": 28105.596221213273, "combined": 22764.097468118318, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 39134.36334932957, "cagr": 0.15600930933751345, "maxDrawdown": -0.20734270364304808 }, "longOnly": { "terminal": 38296.001685813346, "cagr": 0.15223088281239283, "maxDrawdown": -0.26180559087873545 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 838.3616635162252, "netShort": 660.478856441631, "financingDifference": 177.88280707465492, "grossPremium": 20208.693019944953, "shortSettlements": 18912.87268734811, "shortFees": 150.15000000000066, "terminalShortLiability": 485.1914761552109, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5170.381648496252, "longOnlyInterest": 4992.498841421597, "minCash": 13706.429824794504, "minLongOnlyCash": 14004.072429268215, "cycles": 116, "rolls": 5, "theta": { "longOnly": -4506.994017487949, "short": 22089.174505873707, "combined": 17582.180488385748, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 43151.52035422187, "cagr": 0.1732135412542284, "maxDrawdown": -0.1817298154328607 }, "longOnly": { "terminal": 37926.49079912163, "cagr": 0.1505431952755536, "maxDrawdown": -0.2669333550922971 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 5225.029555100242, "netShort": 4553.449451785977, "financingDifference": 671.5801033143525, "grossPremium": 22161.049477801607, "shortSettlements": 16947.33090326802, "shortFees": 150.15000000000066, "terminalShortLiability": 510.11912274761073, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5561.596537497862, "longOnlyInterest": 4890.01643418351, "minCash": 13658.655173488592, "minLongOnlyCash": 13914.38861243001, "cycles": 116, "rolls": 5, "theta": { "longOnly": -4700.2414783298445, "short": 24540.39842592334, "combined": 19840.156947593452, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 45068.468030669756, "cagr": 0.18094817320548628, "maxDrawdown": -0.1704139719824318 }, "longOnly": { "terminal": 37743.370127238704, "cagr": 0.14970164004292874, "maxDrawdown": -0.2694366459352858 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 7325.097903431051, "netShort": 6414.698380645077, "financingDifference": 910.3995227860269, "grossPremium": 23132.734008936473, "shortSettlements": 16045.17069483563, "shortFees": 150.15000000000066, "terminalShortLiability": 522.7149334557666, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 5750.370989914565, "longOnlyInterest": 4839.971467128538, "minCash": 13635.419262531552, "minLongOnlyCash": 13870.16130930759, "cycles": 116, "rolls": 5, "theta": { "longOnly": -4800.831804204949, "short": 25773.311802722234, "combined": 20972.479998517258, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 48794.83657446216, "cagr": 0.19521682538870122, "maxDrawdown": -0.1491207284599224 }, "longOnly": { "terminal": 37378.306111100705, "cagr": 0.14801354619498808, "maxDrawdown": -0.2743733992024975 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 11416.530463361458, "netShort": 10038.508818908158, "financingDifference": 1378.0216444533853, "grossPremium": 25067.189353733935, "shortSettlements": 14330.445212048293, "shortFees": 150.15000000000066, "terminalShortLiability": 548.0853227774816, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 6119.973035531026, "longOnlyInterest": 4741.95139107764, "minCash": 13590.227927097481, "minLongOnlyCash": 13653.596110657221, "cycles": 116, "rolls": 5, "theta": { "longOnly": -5009.689882212027, "short": 28255.79802730468, "combined": 23246.108145092603, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 21, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 54094.24972155296, "cagr": 0.21399278064268512, "maxDrawdown": -0.120135183556203 }, "longOnly": { "terminal": 36828.832839321665, "cagr": 0.1454461490912542, "maxDrawdown": -0.2817076223124354 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 17265.416882231293, "netShort": 15214.49017176586, "financingDifference": 2050.92671046553, "grossPremium": 27946.80589638203, "shortSettlements": 11995.758264452397, "shortFees": 150.15000000000066, "terminalShortLiability": 586.407460163771, "fees": 157.30000000000072, "longOnlyFees": 7.150000000000001, "interest": 6650.267950636977, "longOnlyInterest": 4599.341240171447, "minCash": 13525.576834737307, "minLongOnlyCash": 13190.444669349885, "cycles": 116, "rolls": 5, "theta": { "longOnly": -5341.4987530949775, "short": 31949.946153945588, "combined": 26608.447400850622, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 38210.43408413276, "cagr": 0.15184129896529264, "maxDrawdown": -0.21928788013301215 }, "longOnly": { "terminal": 38296.001685813346, "cagr": 0.15223088281239283, "maxDrawdown": -0.26180559087873545 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": -85.56760168058827, "netShort": -328.28690166707656, "financingDifference": 242.7192999865456, "grossPremium": 7050.9830101934085, "shortSettlements": 7133.425826210569, "shortFees": 112.45000000000033, "terminalShortLiability": 133.39408564991615, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5235.218141408142, "longOnlyInterest": 4992.498841421597, "minCash": 14023.471369256024, "minLongOnlyCash": 14004.072429268215, "cycles": 87, "rolls": 5, "theta": { "longOnly": -4506.994017487949, "short": 13229.378803894037, "combined": 8722.38478640607, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 40319.062599753845, "cagr": 0.16123317156056216, "maxDrawdown": -0.21028969199999736 }, "longOnly": { "terminal": 37926.49079912163, "cagr": 0.1505431952755536, "maxDrawdown": -0.2669333550922971 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 2392.571800632213, "netShort": 1926.3132749121887, "financingDifference": 466.25852572007534, "grossPremium": 7732.983285678891, "shortSettlements": 5552.7307922123155, "shortFees": 112.45000000000033, "terminalShortLiability": 141.4892185543863, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5356.274959903585, "longOnlyInterest": 4890.01643418351, "minCash": 13935.766966115123, "minLongOnlyCash": 13914.38861243001, "cycles": 87, "rolls": 5, "theta": { "longOnly": -4700.2414783298445, "short": 14082.101597591238, "combined": 9381.860119261404, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 41271.251037778056, "cagr": 0.16533817227948466, "maxDrawdown": -0.20584882926198256 }, "longOnly": { "terminal": 37743.370127238704, "cagr": 0.14970164004292874, "maxDrawdown": -0.2694366459352858 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 3527.880910539352, "netShort": 2959.259526054989, "financingDifference": 568.6213844844333, "grossPremium": 8072.468364483988, "shortSettlements": 4855.220590705693, "shortFees": 112.45000000000033, "terminalShortLiability": 145.53824772330586, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5408.592851612972, "longOnlyInterest": 4839.971467128538, "minCash": 13892.527653227331, "minLongOnlyCash": 13870.16130930759, "cycles": 87, "rolls": 5, "theta": { "longOnly": -4800.831804204949, "short": 14508.770272845111, "combined": 9707.938468640155, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 43012.485652899995, "cagr": 0.17264128292743441, "maxDrawdown": -0.19687286409711235 }, "longOnly": { "terminal": 37378.306111100705, "cagr": 0.14801354619498808, "maxDrawdown": -0.2743733992024975 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 5634.179541799291, "netShort": 4872.0541187239905, "financingDifference": 762.1254230753766, "grossPremium": 8748.433161332774, "shortSettlements": 3610.3052930894164, "shortFees": 112.45000000000033, "terminalShortLiability": 153.62374951936673, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5504.076814153017, "longOnlyInterest": 4741.95139107764, "minCash": 13807.252151547009, "minLongOnlyCash": 13653.596110657221, "cycles": 87, "rolls": 5, "theta": { "longOnly": -5009.689882212027, "short": 15351.44084919024, "combined": 10341.750966978241, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 44797.86704227131, "cagr": 0.17987346614411837, "maxDrawdown": -0.1883201070958872 }, "longOnly": { "terminal": 36828.832839321665, "cagr": 0.1454461490912542, "maxDrawdown": -0.2817076223124354 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 7969.034202949646, "netShort": 6958.306072605974, "financingDifference": 1010.7281303437412, "grossPremium": 9754.940104397698, "shortSettlements": 2518.4955065741606, "shortFees": 112.45000000000033, "terminalShortLiability": 165.6885252175627, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5610.069370515188, "longOnlyInterest": 4599.341240171447, "minCash": 13682.280461805909, "minLongOnlyCash": 13190.444669349885, "cycles": 87, "rolls": 5, "theta": { "longOnly": -5341.4987530949775, "short": 16565.602445241457, "combined": 11224.103692146487, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 37242.07679411035, "cagr": 0.14738002079428947, "maxDrawdown": -0.20750314261985503 }, "longOnly": { "terminal": 38296.001685813346, "cagr": 0.15223088281239283, "maxDrawdown": -0.26180559087873545 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": -1053.9248917029981, "netShort": -1306.563871877175, "financingDifference": 252.63898017425163, "grossPremium": 10112.80507718325, "shortSettlements": 11098.031781661515, "shortFees": 112.45000000000033, "terminalShortLiability": 208.88716739890896, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5245.137821595848, "longOnlyInterest": 4992.498841421597, "minCash": 14032.210458610645, "minLongOnlyCash": 14004.072429268215, "cycles": 87, "rolls": 5, "theta": { "longOnly": -4506.994017487949, "short": 16061.026290002112, "combined": 11554.03227251416, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 40340.48555491266, "cagr": 0.1613264290599521, "maxDrawdown": -0.19648337003480665 }, "longOnly": { "terminal": 37926.49079912163, "cagr": 0.1505431952755536, "maxDrawdown": -0.2669333550922971 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 2413.9947557910273, "netShort": 1832.9619393038042, "financingDifference": 581.0328164872881, "grossPremium": 11088.959064061957, "shortSettlements": 8921.372496035927, "shortFees": 112.45000000000033, "terminalShortLiability": 222.17462872222598, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5471.049250670798, "longOnlyInterest": 4890.01643418351, "minCash": 13945.366595971265, "minLongOnlyCash": 13914.38861243001, "cycles": 87, "rolls": 5, "theta": { "longOnly": -4700.2414783298445, "short": 17542.402971892592, "combined": 12842.161493562762, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 41640.76827006175, "cagr": 0.16690957677357265, "maxDrawdown": -0.19121888511302687 }, "longOnly": { "terminal": 37743.370127238704, "cagr": 0.14970164004292874, "maxDrawdown": -0.2694366459352858 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 3897.3981428230472, "netShort": 3169.9308222642585, "financingDifference": 727.4673205588515, "grossPremium": 11574.73663270335, "shortSettlements": 8063.547586262773, "shortFees": 112.45000000000033, "terminalShortLiability": 228.8082241763192, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5567.43878768739, "longOnlyInterest": 4839.971467128538, "minCash": 13902.556654362334, "minLongOnlyCash": 13870.16130930759, "cycles": 87, "rolls": 5, "theta": { "longOnly": -4800.831804204949, "short": 18175.328120610327, "combined": 13374.496316405382, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 43852.25587369877, "cagr": 0.17607412521233212, "maxDrawdown": -0.18101978699002064 }, "longOnly": { "terminal": 37378.306111100705, "cagr": 0.14801354619498808, "maxDrawdown": -0.2743733992024975 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 6473.949762598066, "netShort": 5499.2279221234585, "financingDifference": 974.7218404746473, "grossPremium": 12541.732392802718, "shortSettlements": 6688.018483888563, "shortFees": 112.45000000000033, "terminalShortLiability": 242.0359867906953, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5716.673231552288, "longOnlyInterest": 4741.95139107764, "minCash": 13818.13810266375, "minLongOnlyCash": 13653.596110657221, "cycles": 87, "rolls": 5, "theta": { "longOnly": -5009.689882212027, "short": 19376.75581398988, "combined": 14367.065931777866, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 46924.49781155743, "cagr": 0.18817535387247242, "maxDrawdown": -0.16652600149689467 }, "longOnly": { "terminal": 36828.832839321665, "cagr": 0.1454461490912542, "maxDrawdown": -0.2817076223124354 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 10095.664972235762, "netShort": 8780.173962256022, "financingDifference": 1315.4910099798253, "grossPremium": 13980.944141292075, "shortSettlements": 4826.5807931072, "shortFees": 112.45000000000033, "terminalShortLiability": 261.73938592885054, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5914.832250151272, "longOnlyInterest": 4599.341240171447, "minCash": 13694.447372490198, "minLongOnlyCash": 13190.444669349885, "cycles": 87, "rolls": 5, "theta": { "longOnly": -5341.4987530949775, "short": 21147.888106839826, "combined": 15806.389353744851, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 35719.89288783021, "cagr": 0.14016404744168742, "maxDrawdown": -0.19971198269819557 }, "longOnly": { "terminal": 38296.001685813346, "cagr": 0.15223088281239283, "maxDrawdown": -0.26180559087873545 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": -2576.1087979831354, "netShort": -2736.5193775131143, "financingDifference": 160.41057953004747, "grossPremium": 13488.145680161711, "shortSettlements": 15814.956616057154, "shortFees": 112.45000000000033, "terminalShortLiability": 297.25844161767156, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5152.909420951644, "longOnlyInterest": 4992.498841421597, "minCash": 14041.859919218103, "minLongOnlyCash": 14004.072429268215, "cycles": 87, "rolls": 5, "theta": { "longOnly": -4506.994017487949, "short": 17879.17731989959, "combined": 13372.18330241164, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 39283.62413095342, "cagr": 0.15667479720476374, "maxDrawdown": -0.18156583094637024 }, "longOnly": { "terminal": 37926.49079912163, "cagr": 0.1505431952755536, "maxDrawdown": -0.2669333550922971 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 1357.133331831792, "netShort": 774.556130591992, "financingDifference": 582.5772012398702, "grossPremium": 14787.639189776488, "shortSettlements": 13583.754260065702, "shortFees": 112.45000000000033, "terminalShortLiability": 316.87879911879406, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5472.59363542338, "longOnlyInterest": 4890.01643418351, "minCash": 13955.96517626467, "minLongOnlyCash": 13914.38861243001, "cycles": 87, "rolls": 5, "theta": { "longOnly": -4700.2414783298445, "short": 19969.031077553635, "combined": 15268.789599223806, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 40996.266981216286, "cagr": 0.1641610094052337, "maxDrawdown": -0.17487988479854322 }, "longOnly": { "terminal": 37743.370127238704, "cagr": 0.14970164004292874, "maxDrawdown": -0.2694366459352858 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 3252.8968539775815, "netShort": 2473.677205152908, "financingDifference": 779.219648824741, "grossPremium": 15434.16323721768, "shortSettlements": 12521.375109967074, "shortFees": 112.45000000000033, "terminalShortLiability": 326.66092209769744, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5619.191115953279, "longOnlyInterest": 4839.971467128538, "minCash": 13913.628731090366, "minLongOnlyCash": 13870.16130930759, "cycles": 87, "rolls": 5, "theta": { "longOnly": -4800.831804204949, "short": 20980.670521150634, "combined": 16179.838716945682, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 44186.7285214871, "cagr": 0.1774258713041852, "maxDrawdown": -0.16283719126459462 }, "longOnly": { "terminal": 37378.306111100705, "cagr": 0.14801354619498808, "maxDrawdown": -0.2743733992024975 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 6808.422410386396, "netShort": 5678.762226419528, "financingDifference": 1129.660183966931, "grossPremium": 16720.823665384047, "shortSettlements": 10583.464274827864, "shortFees": 112.45000000000033, "terminalShortLiability": 346.14716413665434, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5871.6115750445715, "longOnlyInterest": 4741.95139107764, "minCash": 13830.15505215924, "minLongOnlyCash": 13653.596110657221, "cycles": 87, "rolls": 5, "theta": { "longOnly": -5009.689882212027, "short": 23008.703696359888, "combined": 17999.013814147867, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 48376.304138131265, "cagr": 0.19366128343008837, "maxDrawdown": -0.14607227836749292 }, "longOnly": { "terminal": 36828.832839321665, "cagr": 0.1454461490912542, "maxDrawdown": -0.2817076223124354 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 11547.4712988096, "netShort": 9945.305805536895, "financingDifference": 1602.1654932727652, "grossPremium": 18635.015552257348, "shortSettlements": 8202.123460023826, "shortFees": 112.45000000000033, "terminalShortLiability": 375.1362866966261, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 6201.506733444212, "longOnlyInterest": 4599.341240171447, "minCash": 13707.876350937233, "minLongOnlyCash": 13190.444669349885, "cycles": 87, "rolls": 5, "theta": { "longOnly": -5341.4987530949775, "short": 25483.27567739835, "combined": 20141.77692430331, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 34447.510427285735, "cagr": 0.133929135261877, "maxDrawdown": -0.19097023361443544 }, "longOnly": { "terminal": 38296.001685813346, "cagr": 0.15223088281239283, "maxDrawdown": -0.26180559087873545 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": -3848.4912585276106, "netShort": -3904.2665649806954, "financingDifference": 55.775306453146186, "grossPremium": 17187.210119119674, "shortSettlements": 20580.701610047778, "shortFees": 112.45000000000033, "terminalShortLiability": 398.3250740525918, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5048.274147874743, "longOnlyInterest": 4992.498841421597, "minCash": 14052.451396825578, "minLongOnlyCash": 14004.072429268215, "cycles": 87, "rolls": 5, "theta": { "longOnly": -4506.994017487949, "short": 19275.944579779592, "combined": 14768.950562291631, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 38055.468267209755, "cagr": 0.15113386056611633, "maxDrawdown": -0.16898272492115907 }, "longOnly": { "terminal": 37926.49079912163, "cagr": 0.1505431952755536, "maxDrawdown": -0.2669333550922971 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 128.97746808812371, "netShort": -365.08131912818925, "financingDifference": 494.0587872163778, "grossPremium": 18840.060236272788, "shortSettlements": 18667.259017394794, "shortFees": 112.45000000000033, "terminalShortLiability": 425.4325380061829, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5384.075221399888, "longOnlyInterest": 4890.01643418351, "minCash": 13967.597293039196, "minLongOnlyCash": 13914.38861243001, "cycles": 87, "rolls": 5, "theta": { "longOnly": -4700.2414783298445, "short": 21605.45386791256, "combined": 16905.212389582677, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 39842.73117940979, "cagr": 0.15914868282270578, "maxDrawdown": -0.16021309117850158 }, "longOnly": { "terminal": 37743.370127238704, "cagr": 0.14970164004292874, "maxDrawdown": -0.2694366459352858 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 2099.361052171087, "netShort": 1389.6674383323048, "financingDifference": 709.6936138388246, "grossPremium": 19662.18867711149, "shortSettlements": 17721.137483604547, "shortFees": 112.45000000000033, "terminalShortLiability": 438.9337551746394, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5549.665080967363, "longOnlyInterest": 4839.971467128538, "minCash": 13925.779924760756, "minLongOnlyCash": 13870.16130930759, "cycles": 87, "rolls": 5, "theta": { "longOnly": -4800.831804204949, "short": 22808.389178082987, "combined": 18007.557373878026, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 43410.094526652254, "cagr": 0.1742736674957781, "maxDrawdown": -0.14520209504138792 }, "longOnly": { "terminal": 37378.306111100705, "cagr": 0.14801354619498808, "maxDrawdown": -0.2743733992024975 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 6031.788415551549, "netShort": 4893.6690647604, "financingDifference": 1138.119350791223, "grossPremium": 21297.93238022519, "shortSettlements": 15826.005855667903, "shortFees": 112.45000000000033, "terminalShortLiability": 465.80745979688487, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 5880.0707418688635, "longOnlyInterest": 4741.95139107764, "minCash": 13843.341922498845, "minLongOnlyCash": 13653.596110657221, "cycles": 87, "rolls": 5, "theta": { "longOnly": -5009.689882212027, "short": 25221.54043749607, "combined": 20211.85055528407, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 30, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 48626.613762240384, "cagr": 0.19459296508743829, "maxDrawdown": -0.1245127118066982 }, "longOnly": { "terminal": 36828.832839321665, "cagr": 0.1454461490912542, "maxDrawdown": -0.2817076223124354 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 11797.780922918719, "netShort": 10037.829498197298, "financingDifference": 1759.9514247214938, "grossPremium": 23730.501098050023, "shortSettlements": 13074.474167126702, "shortFees": 112.45000000000033, "terminalShortLiability": 505.74743272602234, "fees": 119.60000000000039, "longOnlyFees": 7.150000000000001, "interest": 6359.292664892941, "longOnlyInterest": 4599.341240171447, "minCash": 13722.61056811748, "minLongOnlyCash": 13190.444669349885, "cycles": 87, "rolls": 5, "theta": { "longOnly": -5341.4987530949775, "short": 28810.003201787862, "combined": 23468.50444869288, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 39864.64754250707, "cagr": 0.15924505473135286, "maxDrawdown": -0.21861993464273533 }, "longOnly": { "terminal": 38296.001685813346, "cagr": 0.15223088281239283, "maxDrawdown": -0.26180559087873545 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 1568.6458566937217, "netShort": 1268.4924014885128, "financingDifference": 300.1534552052435, "grossPremium": 5669.387295419101, "shortSettlements": 3972.4788811753815, "shortFees": 70.84999999999997, "terminalShortLiability": 357.56601275520694, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5292.65229662684, "longOnlyInterest": 4992.498841421597, "minCash": 13673.254581893316, "minLongOnlyCash": 14004.072429268215, "cycles": 55, "rolls": 5, "theta": { "longOnly": -4506.994017487949, "short": 10022.128813861103, "combined": 5515.134796373128, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 41146.02219786011, "cagr": 0.16480291577350226, "maxDrawdown": -0.2150157871263313 }, "longOnly": { "terminal": 37926.49079912163, "cagr": 0.1505431952755536, "maxDrawdown": -0.2669333550922971 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 3219.5313987384798, "netShort": 2739.147457152306, "financingDifference": 480.3839415862258, "grossPremium": 6212.45242194281, "shortSettlements": 3059.023135211295, "shortFees": 70.84999999999997, "terminalShortLiability": 343.4318295792096, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5370.400375769736, "longOnlyInterest": 4890.01643418351, "minCash": 13625.40502337716, "minLongOnlyCash": 13914.38861243001, "cycles": 55, "rolls": 5, "theta": { "longOnly": -4700.2414783298445, "short": 10790.519521072027, "combined": 6090.278042742148, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 41746.14368126606, "cagr": 0.16735552566560163, "maxDrawdown": -0.2135326702336806 }, "longOnly": { "terminal": 37743.370127238704, "cagr": 0.14970164004292874, "maxDrawdown": -0.2694366459352858 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 4002.773554027357, "netShort": 3440.011595769328, "financingDifference": 562.7619582580683, "grossPremium": 6482.438389188173, "shortSettlements": 2633.718921552898, "shortFees": 70.84999999999997, "terminalShortLiability": 337.8578718659469, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5402.7334253866065, "longOnlyInterest": 4839.971467128538, "minCash": 13602.171530252064, "minLongOnlyCash": 13870.16130930759, "cycles": 55, "rolls": 5, "theta": { "longOnly": -4800.831804204949, "short": 11210.863963592514, "combined": 6410.032159387574, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 42764.67767630568, "cagr": 0.17161741576814982, "maxDrawdown": -0.21180310549982362 }, "longOnly": { "terminal": 37378.306111100705, "cagr": 0.14801354619498808, "maxDrawdown": -0.2743733992024975 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 5386.371565204972, "netShort": 4692.748412423443, "financingDifference": 693.6231527815762, "grossPremium": 7019.350148400127, "shortSettlements": 1926.7541789715892, "shortFees": 70.84999999999997, "terminalShortLiability": 328.99755700509417, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5435.574543859217, "longOnlyInterest": 4741.95139107764, "minCash": 13557.065385435135, "minLongOnlyCash": 13653.596110657221, "cycles": 55, "rolls": 5, "theta": { "longOnly": -5009.689882212027, "short": 11904.85188441618, "combined": 6895.162002204174, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.15, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 43917.595548809724, "cagr": 0.1763388767869043, "maxDrawdown": -0.2096703225384341 }, "longOnly": { "terminal": 36828.832839321665, "cagr": 0.1454461490912542, "maxDrawdown": -0.2817076223124354 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 7088.762709488059, "netShort": 6235.408504140082, "financingDifference": 853.3542053480214, "grossPremium": 7817.164405433144, "shortSettlements": 1190.9186047466192, "shortFees": 70.84999999999997, "terminalShortLiability": 319.9872965464422, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5452.695445519468, "longOnlyInterest": 4599.341240171447, "minCash": 13492.74481986536, "minLongOnlyCash": 13190.444669349885, "cycles": 55, "rolls": 5, "theta": { "longOnly": -5341.4987530949775, "short": 12807.5997268985, "combined": 7466.100973803505, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 40244.22487993477, "cagr": 0.1609070607269225, "maxDrawdown": -0.20463397671075856 }, "longOnly": { "terminal": 38296.001685813346, "cagr": 0.15223088281239283, "maxDrawdown": -0.26180559087873545 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 1948.2231941214268, "netShort": 1571.4273271189713, "financingDifference": 376.79586700250366, "grossPremium": 8126.962398369688, "shortSettlements": 5953.674516393134, "shortFees": 70.84999999999997, "terminalShortLiability": 531.0105548575834, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5369.2947084241005, "longOnlyInterest": 4992.498841421597, "minCash": 13639.924210485595, "minLongOnlyCash": 14004.072429268215, "cycles": 55, "rolls": 5, "theta": { "longOnly": -4506.994017487949, "short": 12410.26617757102, "combined": 7903.272160083077, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 41861.892725397265, "cagr": 0.16784427592428597, "maxDrawdown": -0.19982502117274648 }, "longOnly": { "terminal": 37926.49079912163, "cagr": 0.1505431952755536, "maxDrawdown": -0.2669333550922971 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 3935.4019262756337, "netShort": 3346.3913815707515, "financingDifference": 589.01054470493, "grossPremium": 8903.394828225306, "shortSettlements": 4968.988257967272, "shortFees": 70.84999999999997, "terminalShortLiability": 517.1651886872824, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5479.02697888844, "longOnlyInterest": 4890.01643418351, "minCash": 13588.438115596044, "minLongOnlyCash": 13914.38861243001, "cycles": 55, "rolls": 5, "theta": { "longOnly": -4700.2414783298445, "short": 13473.922062883426, "combined": 8773.68058455358, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 42602.80586523137, "cagr": 0.17094588813980716, "maxDrawdown": -0.1973884158834538 }, "longOnly": { "terminal": 37743.370127238704, "cagr": 0.14970164004292874, "maxDrawdown": -0.2694366459352858 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 4859.435737992666, "netShort": 4168.555963417359, "financingDifference": 690.8797745753327, "grossPremium": 9289.267917441795, "shortSettlements": 4537.9515054629865, "shortFees": 70.84999999999997, "terminalShortLiability": 511.91044856145, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5530.851241703871, "longOnlyInterest": 4839.971467128538, "minCash": 13563.365268295885, "minLongOnlyCash": 13870.16130930759, "cycles": 55, "rolls": 5, "theta": { "longOnly": -4800.831804204949, "short": 13980.168083783145, "combined": 9179.336279578194, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 44035.385643301124, "cagr": 0.1768153101197698, "maxDrawdown": -0.19250340139012823 }, "longOnly": { "terminal": 37378.306111100705, "cagr": 0.14801354619498808, "maxDrawdown": -0.2743733992024975 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 6657.07953220042, "netShort": 5767.390663431175, "financingDifference": 889.6888687693026, "grossPremium": 10056.380340737349, "shortSettlements": 3714.150190197118, "shortFees": 70.84999999999997, "terminalShortLiability": 503.9894871090553, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5631.640259846943, "longOnlyInterest": 4741.95139107764, "minCash": 13514.538064345776, "minLongOnlyCash": 13653.596110657221, "cycles": 55, "rolls": 5, "theta": { "longOnly": -5009.689882212027, "short": 14979.266096041814, "combined": 9969.5762138298, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.2, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 45992.47321419681, "cagr": 0.18457709596374605, "maxDrawdown": -0.1859557313510357 }, "longOnly": { "terminal": 36828.832839321665, "cagr": 0.1454461490912542, "maxDrawdown": -0.2817076223124354 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 9163.640374875147, "netShort": 8003.43285471354, "financingDifference": 1160.2075201616644, "grossPremium": 11195.61877278357, "shortSettlements": 2624.329251013748, "shortFees": 70.84999999999997, "terminalShortLiability": 497.0066670562801, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5759.548760333111, "longOnlyInterest": 4599.341240171447, "minCash": 13444.529488901804, "minLongOnlyCash": 13190.444669349885, "cycles": 55, "rolls": 5, "theta": { "longOnly": -5341.4987530949775, "short": 16584.501937212448, "combined": 11243.003184117497, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 39836.76121070894, "cagr": 0.15912242353064987, "maxDrawdown": -0.19013452789127883 }, "longOnly": { "terminal": 38296.001685813346, "cagr": 0.15223088281239283, "maxDrawdown": -0.26180559087873545 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 1540.7595248955913, "netShort": 1138.2371715423205, "financingDifference": 402.5223533533044, "grossPremium": 10834.187712422985, "shortSettlements": 8905.100423286713, "shortFees": 70.84999999999997, "terminalShortLiability": 720.0001175939519, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5395.021194774901, "longOnlyInterest": 4992.498841421597, "minCash": 13619.193413921348, "minLongOnlyCash": 14004.072429268215, "cycles": 55, "rolls": 5, "theta": { "longOnly": -4506.994017487949, "short": 14627.39398079153, "combined": 10120.399963303544, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 42314.78670649245, "cagr": 0.16974566273903258, "maxDrawdown": -0.18240637529643577 }, "longOnly": { "terminal": 37926.49079912163, "cagr": 0.1505431952755536, "maxDrawdown": -0.2669333550922971 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 4388.295907370819, "netShort": 3680.3388521917404, "financingDifference": 707.957055179133, "grossPremium": 11866.742370164222, "shortSettlements": 7406.443860463435, "shortFees": 70.84999999999997, "terminalShortLiability": 709.1096575090461, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5597.973489362643, "longOnlyInterest": 4890.01643418351, "minCash": 13565.381973700054, "minLongOnlyCash": 13914.38861243001, "cycles": 55, "rolls": 5, "theta": { "longOnly": -4700.2414783298445, "short": 15974.706605745241, "combined": 11274.46512741538, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 43393.89328186786, "cagr": 0.17420740175307814, "maxDrawdown": -0.1791960118668665 }, "longOnly": { "terminal": 37743.370127238704, "cagr": 0.14970164004292874, "maxDrawdown": -0.2694366459352858 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 5650.523154629154, "netShort": 4814.304827538348, "financingDifference": 836.2183270908408, "grossPremium": 12379.74104480943, "shortSettlements": 6789.196496697177, "shortFees": 70.84999999999997, "terminalShortLiability": 705.3897205739048, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5676.189794219379, "longOnlyInterest": 4839.971467128538, "minCash": 13539.129056184125, "minLongOnlyCash": 13870.16130930759, "cycles": 55, "rolls": 5, "theta": { "longOnly": -4800.831804204949, "short": 16609.834749148144, "combined": 11809.002944943162, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 45333.00008939102, "cagr": 0.1819934957937921, "maxDrawdown": -0.17325122775051505 }, "longOnly": { "terminal": 37378.306111100705, "cagr": 0.14801354619498808, "maxDrawdown": -0.2743733992024975 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 7954.693978290314, "netShort": 6887.058111072394, "financingDifference": 1067.6358672179686, "grossPremium": 13399.257696040357, "shortSettlements": 5740.696285324002, "shortFees": 70.84999999999997, "terminalShortLiability": 700.6532996439603, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5809.587258295609, "longOnlyInterest": 4741.95139107764, "minCash": 13487.90682449235, "minLongOnlyCash": 13653.596110657221, "cycles": 55, "rolls": 5, "theta": { "longOnly": -5009.689882212027, "short": 17907.804286602524, "combined": 12898.114404390497, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.25, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 47767.44688086527, "cagr": 0.1913778471265173, "maxDrawdown": -0.16451397657748046 }, "longOnly": { "terminal": 36828.832839321665, "cagr": 0.1454461490912542, "maxDrawdown": -0.2817076223124354 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 10938.614041543602, "netShort": 9541.875481472653, "financingDifference": 1396.7385600710022, "grossPremium": 14912.555761109785, "shortSettlements": 4601.1242730589365, "shortFees": 70.84999999999997, "terminalShortLiability": 698.7060065781947, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5996.079800242449, "longOnlyInterest": 4599.341240171447, "minCash": 13414.218206450078, "minLongOnlyCash": 13190.444669349885, "cycles": 55, "rolls": 5, "theta": { "longOnly": -5341.4987530949775, "short": 19885.380413475625, "combined": 14543.88166038067, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 38733.54505393197, "cagr": 0.1542115168358793, "maxDrawdown": -0.17644227131714052 }, "longOnly": { "terminal": 38296.001685813346, "cagr": 0.15223088281239283, "maxDrawdown": -0.26180559087873545 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 437.54336811862595, "netShort": 124.11530451498936, "financingDifference": 313.42806360368377, "grossPremium": 13798.94479151977, "shortSettlements": 12681.587160454546, "shortFees": 70.84999999999997, "terminalShortLiability": 922.392326550235, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5305.926905025281, "longOnlyInterest": 4992.498841421597, "minCash": 13607.56819861235, "minLongOnlyCash": 14004.072429268215, "cycles": 55, "rolls": 5, "theta": { "longOnly": -4506.994017487949, "short": 15963.532613438834, "combined": 11456.538595950882, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.1, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 41644.05719713979, "cagr": 0.1669235099922055, "maxDrawdown": -0.16642388221058702 }, "longOnly": { "terminal": 37926.49079912163, "cagr": 0.1505431952755536, "maxDrawdown": -0.2669333550922971 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 3717.566398018156, "netShort": 3039.3388221976547, "financingDifference": 678.2275758205451, "grossPremium": 15110.975396117808, "shortSettlements": 11083.756329571746, "shortFees": 70.84999999999997, "terminalShortLiability": 917.0302443484076, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5568.244010004055, "longOnlyInterest": 4890.01643418351, "minCash": 13552.368315493222, "minLongOnlyCash": 13914.38861243001, "cycles": 55, "rolls": 5, "theta": { "longOnly": -4700.2414783298445, "short": 17947.236179263593, "combined": 13246.994700933732, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.15, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 43030.21458919917, "cagr": 0.1727143414108705, "maxDrawdown": -0.1616950377716303 }, "longOnly": { "terminal": 37743.370127238704, "cagr": 0.14970164004292874, "maxDrawdown": -0.2694366459352858 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 5286.844461960463, "netShort": 4433.154472438977, "financingDifference": 853.6899895215374, "grossPremium": 15762.62616299637, "shortSettlements": 10342.586048343195, "shortFees": 70.84999999999997, "terminalShortLiability": 916.0356422141973, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5693.661456650076, "longOnlyInterest": 4839.971467128538, "minCash": 13525.405708702496, "minLongOnlyCash": 13870.16130930759, "cycles": 55, "rolls": 5, "theta": { "longOnly": -4800.831804204949, "short": 18894.690550250198, "combined": 14093.858746045204, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.25, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 45756.67432806752, "cagr": 0.18365694611309924, "maxDrawdown": -0.15269427510696976 }, "longOnly": { "terminal": 37378.306111100705, "cagr": 0.14801354619498808, "maxDrawdown": -0.2743733992024975 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 8378.368216966817, "netShort": 7181.158332398916, "financingDifference": 1197.2098845679502, "grossPremium": 17057.30458281576, "shortSettlements": 8888.591170643003, "shortFees": 70.84999999999997, "terminalShortLiability": 916.7050797738398, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 5939.161275645591, "longOnlyInterest": 4741.95139107764, "minCash": 13472.733129310414, "minLongOnlyCash": 13653.596110657221, "cycles": 55, "rolls": 5, "theta": { "longOnly": -5009.689882212027, "short": 20657.24130614535, "combined": 15647.551423933375, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } }, { "parameters": { "symbol": "QQQ", "startYear": 2020, "longDte": 545, "longDelta": 0.8, "longRoll": 90, "shortDte": 45, "shortDelta": 0.3, "ivPremium": 0.4, "r": 0.04, "q": 0.006, "borrow": 0.07, "capital": 15000, "fee": 0.65 }, "start": "2020-01-02", "end": "2026-08-14", "years": 6.614647501711157, "pmcc": { "terminal": 49306.68733249376, "cagr": 0.19710387857744838, "maxDrawdown": -0.14096489481097407 }, "longOnly": { "terminal": 36828.832839321665, "cagr": 0.1454461490912542, "maxDrawdown": -0.2817076223124354 }, "stock": { "terminal": 52698.86391134461, "cagr": 0.20920584581931023, "maxDrawdown": -0.35118710608816994 }, "contribution": 12477.854493172097, "netShort": 10840.356423349436, "financingDifference": 1637.4980698227155, "grossPremium": 18978.07515694238, "shortSettlements": 7144.043164409744, "shortFees": 70.84999999999997, "terminalShortLiability": 922.8255691832004, "fees": 78.00000000000003, "longOnlyFees": 7.150000000000001, "interest": 6236.839309994162, "longOnlyInterest": 4599.341240171447, "minCash": 13396.791460950777, "minLongOnlyCash": 13190.444669349885, "cycles": 55, "rolls": 5, "theta": { "longOnly": -5341.4987530949775, "short": 23057.707900278256, "combined": 17716.20914718326, "method": "Calendar-time-only repricing holding prior-session spot and volatility fixed. Diagnostic, not an additive total-P/L attribution." } } ] }